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摇一摇 · 2023年08月22日

这个公式如何体现答案呢

NO.PZ2023040401000048

问题如下:

Which of the following statements best describes changes in the value of a long forward position during its life?

选项:

A.

As interest rates go down, the value of the position goes up.

B.

As the price of the underlying goes up, the value of the position goes up.

C.

As the time to maturity goes down, the value of the position goes up

解释:

Given the formula for the value of a forward contract:

Vt(T)= St - F0(T) (1+r)-(T-t)

it follows that the value of the contract goes up as the price of the underlying goes up.

Given the formula for the value of a forward contract:

Vt(T)= St - F0(T) (1+r)-(T-t)

没明白,这个公式如何体现这句话呢it follows that the value of the contract goes up as the price of the underlying goes up.


1 个答案

Lucky_品职助教 · 2023年08月24日

嗨,爱思考的PZer你好:


underlying是公式里的St,可以看出St增加,Vt也会增加

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虽然现在很辛苦,但努力过的感觉真的很好,加油!