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2021-11-07 10:30A long one-year forward contract on a productive asset was entered at a forward price of ?1,000. Now, seven months later, the underlying asset is selling for ?1,050. The PV of the cost to store, insure, and maintain the asset for the next 5 months is ?4.00, and the asset will generate income over the next 5 months with a PV of ?28.00. Assume annual compounding for all costs and benefits and a risk-free rate of 2%. Based on the current spot price and the no-arbitrage approach, which of the following values is closest to the equilibrium five-month forward value? A ?34.22 B ?33.50 C ?35.94 老師，麻煩你用兩種方法算一下，這道題唄。
所屬：CFA Level II > Derivatives 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Jason Yin助教
2021-11-09 14:27
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