ChiGe
2023-08-13 07:29請(qǐng)問(wèn)第三題涉及到的幾個(gè)名詞-S0，F(xiàn)V等到底什么關(guān)系？
原文這么說(shuō)：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(lái)源： 視頻位置 相關(guān)試題
1個(gè)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?zhuān)饺缦聢D解析所示，公式會(huì)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(jià)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(jià)格“F0(T)”是1851.65，期貨合約的執(zhí)行價(jià)格是1860，連續(xù)復(fù)利無(wú)風(fēng)險(xiǎn)收益率wield0.2%，合約時(shí)限為0.25年
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