NO.PZ201512020800000101
问题如下:
1. Based upon Exhibit 1, the forward premium (discount) for a 360-day INR/GBP forward contract is closest to:
选项:
A.–1.546.
B.1.546
C.1.576
解释:
C is correct.
The equation to calculate the forward premium (discount) is:
is the spot rate with GBP the base currency or d, and INR the foreign currency or per Exhibit 1 is 79.5093, i f is equal to 7.52% and i d is equal to 5.43%.
With GBP as the base currency (i.e. the “domestic” currency) in the INR/GBP quote, substituting in the relevant base currency values from Exhibit 1 yields the following:
考点 : 利率平价公式的计算.
解析 : Covered IRP:
其中,GBP代表的是本币,而INR代表的是外币,于是直接代入数字到上述公式中可得:
For a non-dividend-paying stock, an American-style call option’s value can be calculated based on the present value of expected future cash flows because American-style call options and European-style call options can be described and interpreted similarly and because the no-arbitrage approach applies to each.”
Laurens’s statement about the no-arbitrage approach is correct in its reference to both European-style options and American-style options. Under the binomial models, an option’s value is equal to the present value of expected future payoffs under a risk neutral probability with the discount factor being the risk free interest rate. The multiperiod binomial model approaches equivalency to the BSM model as the time steps shorten (i.e., a large number of short and equal time steps)
老师这个知识点再讲解下