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临江仙 · 2020年09月22日

问一道题:NO.PZ2020021205000007

问题如下:

In what way is a futures price analogous to a stock price paying a continuous dividend yield?

选项:

解释:

It costs nothing to enter into a futures contract. A futures price should therefore have zero growth rate in a risk neutral world. The same is true of a stock that provides a dividend yield equal to the risk-free rate.

这题问的啥?答的又是什么?

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已采纳答案

袁园_品职助教 · 2020年09月23日

同学你好!

这里考查的是下面课件截图的公式(你可以再去听一下 Section 10.Pricing financial forwards and futures,The No Income Case,The Known Income Case,The Known Yield Case 这一节课的视频)

当 r = q 时,F = S