芮同学2019-06-05 05:56:22
芮同学请问一下这道题用反向合约怎么解释？ Expected dividend in 15 days is 0.4, 0.4 in 85 days, 0.5 in 175 days, rf=5%, yield curve is flat, no arbitrage forward price for the 100 day forward for a stock currently priced at 30 is 29.6. What's the value of long position in forward after 60 days? 用公式算的话是Vt（long）=(St-PVDt)-(FP/(1+rf)^(T-t)
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Paroxi2019-06-05 14:31:02
Paroxi同学你好，用现在当下市场上的利率去签订一份新的合约FP’=So*（1+Rf）^T, 用FP´-FP计算出的profit折现到t时间点，即为t时间点求value的利润
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