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remoo · 2020年03月04日

问一道题:NO.PZ2018062007000102

问题如下:

Which of the following factors does not affect the spot price of an asset that has no interim costs or benefits?

选项:

A.

The time value of money

B.

The risk aversion of investors

C.

The price recently paid by other investors

解释:

C is correct. The price recently paid by other investors is past information and does not affect the spot price. The time value of money and the risk aversion of investors determine the discount rate. Only current information is relevant as investors look ahead, not back.

这里跟投资人的风险倾向有啥关系?B

1 个答案

xiaowan_品职助教 · 2020年03月04日

嗨,努力学习的PZer你好:


同学你好,risk-aversion的投资人会要求更高的风险补偿,risk premiums,

这道题的用意其实是spot price和衍生品价格来做一个比对,对于衍生品来说,由于无套利定价原则,其价格是不受投资人的风险偏好影响的。


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努力的时光都是限量版,加油!


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