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周梅 · 2024年10月21日

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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:

Ff/dSfld=Sf/d([Actual360]1+id[Actual360])(ifid)F_{f/d}-S_{fld}=S_{f/d}(\frac{\lbrack{\displaystyle\frac{Actual}{360}}\rbrack}{1+i_d\lbrack{\displaystyle\frac{Actual}{360}}\rbrack})(i_f-i_d)

Sf/dS_{f/d} is the spot rate with GBP the base currency or d, and INR the foreign currency or <em>f</em>.Sf/df.S_{f/d} 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:

Ff/dSf/d=79.5093([360360]1+0.0543[360360])(0.07520.0543)F_{f/d}-S_{f/d}=79.5093(\frac{\lbrack{\displaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\displaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)

Ff/dSf/d=79.5093(11.0543)(0.07520.0543)F_{f/d}-S_{f/d}=79.5093(\frac1{1.0543})(0.0752-0.0543)

Ff/dSf/d=1.576F_{f/d}-S_{f/d}=1.576

考点 : 利率平价公式的计算.

解析 : Covered IRP:

Ff/dSfld=Sf/d([Actual360]1+id[Actual360])(ifid)F_{f/d}-S_{fld}=S_{f/d}(\frac{\lbrack{\displaystyle\frac{Actual}{360}}\rbrack}{1+i_d\lbrack{\displaystyle\frac{Actual}{360}}\rbrack})(i_f-i_d)

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:

Ff/dSf/d=79.5093([360360]1+0.0543[360360])(0.07520.0543)F_{f/d}-S_{f/d}=79.5093(\frac{\lbrack{\displaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\displaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)

Ff/dSf/d=79.5093(11.0543)(0.07520.0543)F_{f/d}-S_{f/d}=79.5093(\frac1{1.0543})(0.0752-0.0543)

Ff/dSf/d=1.576F_{f/d}-S_{f/d}=1.576

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

1 个答案

李坏_品职助教 · 2024年10月22日

嗨,努力学习的PZer你好:


这段话的意思是,对于一个不支付红利的股票,他的美式看涨期权的价值可以基于预期未来现金流的现值来计算,因为此时美式期权与欧式期权是等价的。


这段话是对的,如果股票不支付红利,那么美式期权不会提前行权,所以美式期权等价于欧式期权,所以二者都可以用同一种方法定价——未来现金流的折现。



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NO.PZ201512020800000101 问题如下 1. Baseupon Exhibit 1, the forwarpremium (scount) for a 360-y INR/Gforwarcontrais closest to: A.–1.546. B.1.546 C.1.576 C is correct.The equation to calculate the forwarpremium (scount) is:Ff/SflSf/[Actual360]1+iActual360])(if−iF_{f/-S_{fl=S_{f/(\frac{\lbrack{\splaystyle\frac{Actual}{360}}\rbrack}{1+i_lbrack{\splaystyle\frac{Actual}{360}}\rbrack})(i_f-i_Ff/−Sfl=Sf/(1+i[360Actual​][360Actual​]​)(if​−i)Sf/_{f/Sf/ is the spot rate with Gthe base currenor anINR the foreign currenor em f /em .Sf/em f /em .S_{f/ em f /em .Sf/ per Exhibit 1 is 79.5093, i f is equto 7.52% ani is equto 5.43%.With Gthe base curren(i.e. the “mesticurrency) in the INR/Gquote, substituting in the relevant base currenvalues from Exhibit 1 yiel the following:Ff/Sf/79.5093([360360]1+0.0543[360360])(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac{\lbrack{\splaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\splaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)Ff/−Sf/=79.5093(1+0.0543[360360​][360360​]​)(0.0752−0.0543)Ff/Sf/79.5093(11.0543)(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac1{1.0543})(0.0752-0.0543)Ff/−Sf/=79.5093(1.05431​)(0.0752−0.0543)Ff/Sf/1.576F_{f/-S_{f/=1.576Ff/−Sf/=1.576考点 利率平价公式的计算.解析 CovereIRP:Ff/SflSf/[Actual360]1+iActual360])(if−iF_{f/-S_{fl=S_{f/(\frac{\lbrack{\splaystyle\frac{Actual}{360}}\rbrack}{1+i_lbrack{\splaystyle\frac{Actual}{360}}\rbrack})(i_f-i_Ff/−Sfl=Sf/(1+i[360Actual​][360Actual​]​)(if​−i)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Ff/Sf/79.5093([360360]1+0.0543[360360])(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac{\lbrack{\splaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\splaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)Ff/−Sf/=79.5093(1+0.0543[360360​][360360​]​)(0.0752−0.0543)Ff/Sf/79.5093(11.0543)(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac1{1.0543})(0.0752-0.0543)Ff/−Sf/=79.5093(1.05431​)(0.0752−0.0543)Ff/Sf/1.576F_{f/-S_{f/=1.576Ff/−Sf/=1.576 Using the cru oil futures prices in Exhibit 1, who woulmost likelyaccount for the lowest roll return until March?C airline heing fuel costs The QA Energy Commoties Fun. A cru oil procer heing proctionA cru oil procer woulshort futures to hee the risk of future falling prices. For example, falling prices woulcrease future sales anincome. Cru oil futures are in backwartion, causing successive futures contracts to sollower prices ancausing roll yielto negative.Introction to Commoties anCommoty r没懂,什么意思,老师讲解下

2024-10-22 03:30 1 · 回答

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2024-10-22 03:24 1 · 回答

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2024-10-21 21:45 1 · 回答

NO.PZ201512020800000101 问题如下 1. Baseupon Exhibit 1, the forwarpremium (scount) for a 360-y INR/Gforwarcontrais closest to: A.–1.546. B.1.546 C.1.576 C is correct.The equation to calculate the forwarpremium (scount) is:Ff/SflSf/[Actual360]1+iActual360])(if−iF_{f/-S_{fl=S_{f/(\frac{\lbrack{\splaystyle\frac{Actual}{360}}\rbrack}{1+i_lbrack{\splaystyle\frac{Actual}{360}}\rbrack})(i_f-i_Ff/−Sfl=Sf/(1+i[360Actual​][360Actual​]​)(if​−i)Sf/_{f/Sf/ is the spot rate with Gthe base currenor anINR the foreign currenor em f /em .Sf/em f /em .S_{f/ em f /em .Sf/ per Exhibit 1 is 79.5093, i f is equto 7.52% ani is equto 5.43%.With Gthe base curren(i.e. the “mesticurrency) in the INR/Gquote, substituting in the relevant base currenvalues from Exhibit 1 yiel the following:Ff/Sf/79.5093([360360]1+0.0543[360360])(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac{\lbrack{\splaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\splaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)Ff/−Sf/=79.5093(1+0.0543[360360​][360360​]​)(0.0752−0.0543)Ff/Sf/79.5093(11.0543)(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac1{1.0543})(0.0752-0.0543)Ff/−Sf/=79.5093(1.05431​)(0.0752−0.0543)Ff/Sf/1.576F_{f/-S_{f/=1.576Ff/−Sf/=1.576考点 利率平价公式的计算.解析 CovereIRP:Ff/SflSf/[Actual360]1+iActual360])(if−iF_{f/-S_{fl=S_{f/(\frac{\lbrack{\splaystyle\frac{Actual}{360}}\rbrack}{1+i_lbrack{\splaystyle\frac{Actual}{360}}\rbrack})(i_f-i_Ff/−Sfl=Sf/(1+i[360Actual​][360Actual​]​)(if​−i)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Ff/Sf/79.5093([360360]1+0.0543[360360])(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac{\lbrack{\splaystyle\frac{360}{360}}\rbrack}{1+0.0543\lbrack{\splaystyle\frac{360}{360}}\rbrack})(0.0752-0.0543)Ff/−Sf/=79.5093(1+0.0543[360360​][360360​]​)(0.0752−0.0543)Ff/Sf/79.5093(11.0543)(0.0752−0.0543)F_{f/-S_{f/=79.5093(\frac1{1.0543})(0.0752-0.0543)Ff/−Sf/=79.5093(1.05431​)(0.0752−0.0543)Ff/Sf/1.576F_{f/-S_{f/=1.576Ff/−Sf/=1.576 Whiof the following woulMesser most likely conclu from the implievolatility ta in Exhibit 2 if he exclus the effects of moneyness antime to expiration? B Using out-of-the-money options to establish either long or short positions is more expensive thusing at-the-money options.B.Using out-of-the-money options to hee is more expensive thestablishing a long position with out-of-the-money options.C.Using out-of-the-money options to establish a long position is more expensive thestablishing a short position using out-of-the-money options.Implievolatility is higher for lower strike prices thfor higher strike prices; therefore, out-of-the-money put options will generally more expensive thout-of-the-money call options. Implievolatilities of options with lower strike prices are higher ththose with higher strike prices. 老师讲解下,没有懂

2024-10-21 21:28 1 · 回答