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欢欢 · 2021年11月17日

题目如果改为期间有benefits and costs,是否也是选B?根据一价定律

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。。。。。。。。。。。。。。

1 个答案
已采纳答案

lynn_品职助教 · 2021年11月18日

嗨,努力学习的PZer你好:


基于无套利原则和一价定律,对的。这些benefits and costs要按risk-free rate折现噢。

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努力的时光都是限量版,加油!

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