问题如下图:
选项:
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解释:
金融市场与产品的讲义P146,远期Delta都是1。解析里的gong'si公式shi是期货。而且题目中也没告诉r。不理解
NO.PZ2016082404000026问题如下 The vinyielof asset is 10% per annum. Whis the lta of a long forwarcontraon the asset with six months to maturity? 0.95 1.00 1.05 Cannot termine without aitioninformation ANSWER: AThe lta of a long forwarcontrais e−r∗τ=e−0.10×0.5=0.95.e^{-r\ast\tau}=e^{-0.10\times0.5}=0.95.e−r∗τ=e−0.10×0.5=0.95. 这个没有看出来为什么lt是e 的分红率乘以时间,不应该是无风险报酬率减分红吗
NO.PZ2016082404000026问题如下 The vinyielof asset is 10% per annum. Whis the lta of a long forwarcontraon the asset with six months to maturity? 0.95 1.00 1.05 Cannot termine without aitioninformation ANSWER: AThe lta of a long forwarcontrais e−r∗τ=e−0.10×0.5=0.95.e^{-r\ast\tau}=e^{-0.10\times0.5}=0.95.e−r∗τ=e−0.10×0.5=0.95. 这是哪的知识点???
NO.PZ2016082404000026 问题如下 The vinyielof asset is 10% per annum. Whis the lta of a long forwarcontraon the asset with six months to maturity? 0.95 1.00 1.05 Cannot termine without aitioninformation ANSWER: AThe lta of a long forwarcontrais e−r∗τ=e−0.10×0.5=0.95.e^{-r\ast\tau}=e^{-0.10\times0.5}=0.95.e−r∗τ=e−0.10×0.5=0.95. 老师,讲义中lta of a long forwaris always 1,指的是基础资产不分红的情况是吗?如果基础资产有分红,lta of a long forwar就是 eq×T1 ,对么?谢谢。
NO.PZ2016082404000026 The vinyielof asset is 10% per annum. Whis the lta of a long forwarcontraon the asset with six months to maturity? 0.95 1.00 1.05 Cannot termine without aitioninformation ANSWER: A The lta of a long forwarcontrais e−r∗τ=e−0.10×0.5=0.95.e^{-r\ast\tau}=e^{-0.10\times0.5}=0.95.e−r∗τ=e−0.10×0.5=0.95. 看到其他同学提问 老师 公式为什么是负的? 10%是分红对吧? 有分红是e^(r-q)T 没懂这个公式中 r 到底为啥是负的? 就这道题公式是 e^(r-q)T吗? “品职答疑小助手300羽 · 10 个月前 嗨,爱思考的PZer你好 次方那里是要带负号的。 long的lta是正的,short是负的,其他没区别。 ---------------------------------------------- 虽然现在很辛苦,但努力过的感觉真的很好,加油! 添加评论 0 0 ZF Everyy · 10 个月前 那就是答案中公式错了,应该是e -q*t”????
NO.PZ2016082404000026 The vinyielof asset is 10% per annum. Whis the lta of a long forwarcontraon the asset with six months to maturity? 0.95 1.00 1.05 Cannot termine without aitioninformation ANSWER: A The lta of a long forwarcontrais er∗τ=e−0.10×0.5=0.95.e^{r\ast\tau}=e^{-0.10\times0.5}=0.95.er∗τ=e−0.10×0.5=0.95. The lta of a long forwarcontrais er∗τ=e−0.10×0.5=0.95. 请问公式上面应该是E q*t,还是E -q*t? 领完,long和short是否公式一样?