问一道题：NO.PZ2019010402000005

NO.PZ2019010402000005 问题如下 A three-month equity forwarcontract’s priis $121.2341, the unrlying spot priis $120. The annually compounrisk-free rate is 2%, assume no vinpai Whiof the following is correct? A.There is no arbitrage opportunity B.There is a carry arbitrage opportunity C.There is a reverse carry arbitrage opportunity. B is correct.考点equity forwarcontract的无套利估值。解析无套利下的FP=120(1+2%)3/12=120.5956=120(1+2\%)^{3/12}=120.5956=120(1+2%)3/12=120.5956现在市场中的forwarprice被高估，所以应该买入现货并持有，卖出forwarcontract，即carry arbitrage，因为carry了现货如果是卖出现货，买入forwar则是reverse carry，因为没有carry现货。 我看完，其实有点迷糊，意思是，算出来的120.059这个相当于现货？比当前120.1市场报价的低， 说明市场增加了所以，是carry artibrage

There is a carry arbitrage opportunity There is a reverse carry arbitrage opportunity. B is correct. 考点equity forwarcontract的无套利估值。 解析 无套利下的FP =120(1+2%)3/12=120.5956=120(1+2\%)^{3/12}=120.5956=120(1+2%)3/12=120.5956 现在市场中的forwarprice被高估，所以应该买入现货并持有，卖出forwarcontract，即carry arbitrage，因为carry了现货 如果是卖出现货，买入forwar则是reverse carry，因为没有carry现货。题中的carry是什么意思？