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问题如下：

A three-month equity forward contract’s price is $121.2341, the underlying spot price is $120. The annually compounded risk-free rate is 2%, assume no dividend paid. Which of the following is correct?

选项：

A.

There is no arbitrage opportunity

B.

There is a carry arbitrage opportunity

C.

There is a reverse carry arbitrage opportunity.

解释：

B is correct.

考点：equity forward contract的无套利估值。

解析：

无套利下的FP$=120(1+2\%)^{3/12}=120.5956$

现在市场中的forward price被高估，所以应该买入现货并持有，卖出forward contract，即carry arbitrage，因为carry了现货

如果是卖出现货，买入forward，则是reverse carry，因为没有carry现货。