谢同学2023-03-27 13:09:23

官网case Newport Case Scenario的Q3题，Q3 Franco’s description of the Black model’s approach to valuation of Eurodollar futures options used for hedging is:A.correct.B.incorrect, because he is describing a call option.C .incorrect, because he is describing a put option. 官网正确答案是B；有关原文为Franco replies: “The Black model can be used to value options on the Eurodollar future. In this model, futures options have two components: a futures component and a bond component. When hedging against rising interest rates, according to the Black model, the Eurodollar futures option used can be viewed as the futures component minus the bond component.”之前老师解读说是欧洲美元的报价是100-forward rate, 这样的话这道题选B没问题。但课后题Tim Doyle的第一题欧洲美元的报价形式又是直接报价。觉得两道题的知识点内容不一致，到底怎么理解欧洲美元期货？谢谢！考试遇上怎么办？