ChiGe
2023-08-13 07:29請問第三題涉及到的幾個名詞-S0，F(xiàn)V等到底什么關(guān)系？
原文這么說：The second task is the valuation of option on index. The S&P 500 Index (a spot index) is presently at 1,860 and the 0.25 expiration futures contract is trading at 1,851.65. Suppose further that the exercise price is 1,860, the continuously compounded risk-free rate is 0.2%, time to expiration
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個回答
Evian, CFA助教
2023-08-13 23:21
該回答已被題主采納
ヾ(?°?°?)??你好同學(xué)，
Q3考BSM模型的公式解釋，公式如下圖解析所示，公式會用到題目給出的信息：
The S&P 500 Index (a spot index) is presently at 1,860 and the 0.25 expiration futures contract is trading at 1,851.65. Suppose further that the exercise price is 1,860, the continuously compounded risk-free rate is 0.2%, time to expiration is 0.25,
有上述內(nèi)容可知，指數(shù)當(dāng)下的價格是1860，一份為期0.25年的、以指數(shù)為標(biāo)的資產(chǎn)的期貨合約價格“F0(T)”是1851.65，期貨合約的執(zhí)行價格是1860，連續(xù)復(fù)利無風(fēng)險收益率wield0.2%，合約時限為0.25年
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