ZF Everyday · 2021年05月05日
NO.PZ2016082404000026
问题如下：
The dividend yield of an asset is 10% per annum. What is the delta of a long forward contract on the asset with six months to maturity?
选项： 0.95
1.00
C.1.05
D.Cannot determine without additional information
解释：
ANSWER: A
The delta of a long forward contract is
The delta of a long forward contract is
er∗τ=e−0.10×0.5=0.95.
请问公式上面应该是E q*t，还是E -q*t？
领完，long和short是否公式一样？
NO.PZ2016082404000026问题如下 The vinyielof asset is 10% per annum. Whis the lta of a long forwarcontraon the asset with six months to maturity? 0.95 1.00 1.05 Cannot termine without aitioninformation ANSWER: AThe lta of a long forwarcontrais e−r∗τ=e−0.10×0.5=0.95.e^{-r\ast\tau}=e^{-0.10\times0.5}=0.95.e−r∗τ=e−0.10×0.5=0.95. 这个没有看出来为什么lt是e 的分红率乘以时间，不应该是无风险报酬率减分红吗
NO.PZ2016082404000026问题如下 The vinyielof asset is 10% per annum. Whis the lta of a long forwarcontraon the asset with six months to maturity? 0.95 1.00 1.05 Cannot termine without aitioninformation ANSWER: AThe lta of a long forwarcontrais e−r∗τ=e−0.10×0.5=0.95.e^{-r\ast\tau}=e^{-0.10\times0.5}=0.95.e−r∗τ=e−0.10×0.5=0.95. 这是哪的知识点？？？
NO.PZ2016082404000026 问题如下 The vinyielof asset is 10% per annum. Whis the lta of a long forwarcontraon the asset with six months to maturity? 0.95 1.00 1.05 Cannot termine without aitioninformation ANSWER: AThe lta of a long forwarcontrais e−r∗τ=e−0.10×0.5=0.95.e^{-r\ast\tau}=e^{-0.10\times0.5}=0.95.e−r∗τ=e−0.10×0.5=0.95. 老师，讲义中lta of a long forwaris always 1,指的是基础资产不分红的情况是吗？如果基础资产有分红，lta of a long forwar就是 eq×T1 ，对么？谢谢。
NO.PZ2016082404000026 The vinyielof asset is 10% per annum. Whis the lta of a long forwarcontraon the asset with six months to maturity? 0.95 1.00 1.05 Cannot termine without aitioninformation ANSWER: A The lta of a long forwarcontrais e−r∗τ=e−0.10×0.5=0.95.e^{-r\ast\tau}=e^{-0.10\times0.5}=0.95.e−r∗τ=e−0.10×0.5=0.95. 看到其他同学提问 老师 公式为什么是负的？ 10%是分红对吧？ 有分红是e^(r-q)T 没懂这个公式中 r 到底为啥是负的？ 就这道题公式是 e^(r-q)T吗？ “品职答疑小助手300羽 · 10 个月前 嗨，爱思考的PZer你好 次方那里是要带负号的。 long的lta是正的，short是负的，其他没区别。 ---------------------------------------------- 虽然现在很辛苦，但努力过的感觉真的很好，加油！ 添加评论 0 0 ZF Everyy · 10 个月前 那就是答案中公式错了，应该是e -q*t”？？？？
