1個回答
Evian, CFA助教
2023-11-08 15:27
該回答已被題主采納
ヾ(?°?°?)??你好同學，
不好意思，我知道你在做的題目是什么內(nèi)容
從以上截圖中可以分析出來，4%是報價年利率，12是付息頻率（一年12次按月），9指的是持有期為9個月
以上截圖的計算結(jié)果是9個月的持有期回報率
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追問
Assume that at Time 0 an investor entered into a forward contract to sell a stock at a price of F0(1) = $32 one year from now. Three month later, at Time t= 0.25, the forward price of the underlying stock is F0.25(1) = $27.5 and the risk-free rate is 4%. The value of the existing forward contract expiring in nine months will be closest to:
A
-4.3696
B
4.3269
C
4.3696
答案：
正確答案 C
| 您的答案 C
本題正確率53%
知識點：
Principle of forward pricing & valuation
難度：
一般
推薦：
解析
Note that, F0(1) = $32, F0.25(1) = $27.5, r = 4%, and T – t = 0.75.
We find that the value of the existing forward entered at Time 0 and valued at Time t is:
Vt = PV[F0(1) – F0.25(1)] =(32-27.5)/(1+4%)0.75=4.3696. -
追答
不可以用（1+4%/12）^9
因為4%是一個復利利率，它不可以平均分在12個月，4%不可以直接除以12
應該將4%作為復利利率，時間加權體現(xiàn)在指數(shù)位置：（1+4%）^0.75
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回復Evian, CFA：它是用（1＋0.4%）^0.75
