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罗密欧C · 2020年02月09日

问一道题：NO.PZ2019052801000039

  1. FRM I
  2. Financial Markets And Products

问题如下：

A farmer plans to sell 50,000 tons of soybeans in six months, he decides to purchase futures contracts to hedge against the price deline. The current price of soybeans is $ 508/ton, the contract size is 100 tons, the storage cost for the soybeans is 1.5% per year. The continuously compounded rate is 5%, what's the  price for the futures contract ?

选项：

A.

$35412.

B.

$76634.

C.

$50217.

D.

$52478.

解释：

D is correct.

考点：远期合约定价

解析：

FP  =S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78FP\;=S_0e^{(r+C)\times T}=508e^{(0.05+0.015)\times0.5}=524.78

x100 tons per contract = $52478

老师请问一下这道题答案公式里为什么要r + C　？

(r+C)×T

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1 个答案

orange品职答疑助手 · 2020年02月09日

同学你好，远期定价里面，如果含有仓储成本，是在无风险利率后面加上仓储成本的，公式是 S0*e^((r+C)*T)

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