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H. · 2020年11月14日

问一道题:NO.PZ2018062007000102无套利的方式定价,不受投资者风险偏好影响

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.

衍生品的价格是通过无套利的方式定出来的,所以不受投资者风险偏好影响。请问这句话什么意思,帮忙解释一下,谢谢!

1 个答案

丹丹_品职答疑助手 · 2020年11月15日

嗨,爱思考的PZer你好:


同学你好,在确定衍生品价格的时候,如果存在套利机会就会使套利者积极投资从而缩小套利机会,最终定价合理。我们假设市场定价合理,不受投资者的偏好影响利用市场利率订立衍生品价格。


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努力的时光都是限量版,加油!


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