航 · 2020年07月27日
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：
x100 tons per contract = $52478
能用老师上课讲的画图法解一下吗？谢啦NO.PZ2019052801000039问题如下 A farmer plans to sell 50,000 tons of soybeans in six months, he cis to short futures contracts to hee against the priline. The current priof soybeans is $ 508/ton, the contrasize is 100 tons, the storage cost for the soybeans is 1.5% per year. The continuously compounrate is 5%, what's the prifor the futures contra? A.$35412.B.$76634.C.$50217.$52478.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}=524.78FP=S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78x100 tons per contra= $52478红色圈出来的是老师上课讲的公式，在这种离散情况下，PVCost在t0时刻到底怎么求，是不是题目得告诉具体cost金额，那除以的利率和时间呢？连续函数怎么用上面这个公式类似推导出来
NO.PZ2019052801000039 问题如下 A farmer plans to sell 50,000 tons of soybeans in six months, he cis to short futures contracts to hee against the priline. The current priof soybeans is $ 508/ton, the contrasize is 100 tons, the storage cost for the soybeans is 1.5% per year. The continuously compounrate is 5%, what's the prifor the futures contra? A.$35412. B.$76634. C.$50217. $52478. 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}=524.78FP=S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78x100 tons per contra= $52478 以下是我的解题思路按老师讲的大原则，FP=S0+cost-income，同时期货定价和远期定价一样，所以通过期初V0=0构建公式。FP/(e^R*T)=s0(1+1.5%)^0.5请问以上哪里不对呢？
NO.PZ2019052801000039问题如下 A farmer plans to sell 50,000 tons of soybeans in six months, he cis to short futures contracts to hee against the priline. The current priof soybeans is $ 508/ton, the contrasize is 100 tons, the storage cost for the soybeans is 1.5% per year. The continuously compounrate is 5%, what's the prifor the futures contra? A.$35412.B.$76634.C.$50217.$52478.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}=524.78FP=S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78x100 tons per contra= $52478cost的算法为什么不是508*1.5%/2然后加上508再乘e^5%*0.5
NO.PZ2019052801000039问题如下 A farmer plans to sell 50,000 tons of soybeans in six months, he cis to short futures contracts to hee against the priline. The current priof soybeans is $ 508/ton, the contrasize is 100 tons, the storage cost for the soybeans is 1.5% per year. The continuously compounrate is 5%, what's the prifor the futures contra? A.$35412.B.$76634.C.$50217.$52478.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}=524.78FP=S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78x100 tons per contra= $52478这个题目按照公式计算差别很大，完全没边，请问特殊点在哪里？谢谢
NO.PZ2019052801000039问题如下 A farmer plans to sell 50,000 tons of soybeans in six months, he cis to short futures contracts to hee against the priline. The current priof soybeans is $ 508/ton, the contrasize is 100 tons, the storage cost for the soybeans is 1.5% per year. The continuously compounrate is 5%, what's the prifor the futures contra? A.$35412.B.$76634.C.$50217.$52478.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}=524.78FP=S0e(r+C)×T=508e(0.05+0.015)×0.5=524.78x100 tons per contra= $52478这边的cost为什么不剪掉而是加上
