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Leaiatu · 2019年12月03日

问一道题:NO.PZ2018062007000023

问题如下:

The underlying prices of Product X and Product Y are both $10. Product X has no storage cost and convenience yield, while Product Y has a higher future value of storage cost than its convenience yield. Compared to the forward price of Product X:

选项:

A.

The forward price of Product Y is smaller

B.

The forward price of Product Y is equal

C.

The forward price of Product Y is larger

解释:

C is correct.

The forward price is the spot price compounded at the risk-free rate over the life of the contract minus the future value of those benefits plus the future value of costs. Product Y has a higher future value of storage cost (costs) than its convenience yield (benefits), therefore the forward price of Product Y is larger than X.

老师,请问Y的存储成本更高、交易便利更地,它的远期价格是不是应该更低一点呢?

1 个答案
已采纳答案

包包_品职助教 · 2019年12月04日

嗨,努力学习的PZer你好:


远期价格=(现货价格+储存成本现值-交易便利)(1+Rf)T, 如果Y的存储成本更高、交易便利更低,它的远期价格应该是更高


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虽然现在很辛苦,但努力过的感觉真的很好,加油!


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