NO.PZ2016031202000011
问题如下:
The price of a forward contract on an asset with no benefits and costs would be :
选项:
A.the expected spot price at expiration.
B.the spot price compounded at the risk-free rate over the life of the contract.
C.the spot price compounded at the risk-free rate plus risk premium over the life of the contract.
解释:
B is correct. The forward price is based on arbitrage, which is the spot price compounded at the risk-free rate over the life of the contract.
中文解析:
FP=S0*(1+rf)T 这个公式和B选项的文字描述一样。
B选项说the spot price compounded at risk free rate 也就是S0在合约期间以无风险利率复利,结果就是S0*(1+rf)T 。
如题。。。。。。。。。。。。。。