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mayduke · 2022年05月01日

可以再解释一下B的原理吗

NO.PZ2018062007000087

问题如下:

In contrast to contingent claims, forward contracts:

选项:

A.

have their prices chosen by the participants.

B.

could end in default by either party.

C.

can be exercised by physical or cash delivery

解释:

B is correct. In a forward contract, either party could default, whereas in a contingent claim, default is possible only from the short to the long. A is incorrect because the forward price is set in the pricing of the contract such that the starting contract value is zero, unlike contingent claims, under which parties can select any starting value. C is incorrect because both forward contracts and contingent claims can be settled by either physical or cash delivery.

中文解析:

B正确,在forward commitment 中,任何一方都可以违约,而在contingent claim中,只有short方有可能违约。

A是不正确的,forward 合约的价格不是参与着可以自己选择的,它是我们通过无套利原则计算出来的,使得合约初始的价值为0的价格

C是错误的,二者都可以通过实物交割或现金交割来结算。

为什么一个是long和short都可违约 而另一个只有short才能违约 判断这个的前提是什么 课上没有听明白 谢谢

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Lucky_品职助教 · 2022年05月05日

嗨,努力学习的PZer你好:


买方支付期权费,买了个行权的权利,要么行权,要么不行权,都是可以的,没有违约一说。

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加油吧,让我们一起遇见更好的自己!

Lucky_品职助教 · 2022年05月01日

嗨,爱思考的PZer你好:


forward commitment包含forward 、future 、swap,这三种产品双方都可能违约。

contingent claim是我们学的期权及CDS,只有期权的卖方可能违约。掌握这个大分类,你应该就能理解了~

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

mayduke · 2022年05月05日

这个分类我是知道的,换个问法哈,期权的买方不可以违约的原因可以解释一下吗?谢谢

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