劉同學(xué)
2018-04-09 23:06Suppose you own a stock at $102. You have a short forward contract to sell the stock at a price of $100 one year from now. Risk free rate is 4%. What is your overall value of the two positions? A -5.85 B 5.85 C 100 這是什么原理呢?我選的c,我覺得他鎖定了最低value
所屬:CFA Level I 視頻位置 相關(guān)試題
來源: 視頻位置 相關(guān)試題
1個回答
金程教育Alfred助教
2018-04-10 09:48
該回答已被題主采納
同學(xué)你好,這道題問的就是forward的valuation。對于long方來說就是St-FP/(1+Rf)T-t,對于short方來說正好相反,也就是FP/(1+Rf)T-t-St
