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?