期貨評價? - 期貨
By Noah
at 2010-05-06T10:01
at 2010-05-06T10:01
Table of Contents
先跟期權板的各位前輩問好~~~~
小弟最近在寫財管考古題
碰到ㄧ題怪怪的題目 想說來版上請教各位 懇請各位不吝賜教~
The spot price of wheat is $2.9/bushel. One year futures price is $3.0/bushel.
If the risk free rate is 5%, calculate the net convenience yield.
A. -0.019 B.+0.019 C.+0.0345 D.-0.0345
我的解法是利用商品期貨評價公式
t
F=S(1+r) - CY where CY=convenience yield
so 3=2.9*1.05-CY ==> CY=0.045 ???
怎麼算就是都不出來答案 懇請各位幫忙解惑 謝謝!!!
--
小弟最近在寫財管考古題
碰到ㄧ題怪怪的題目 想說來版上請教各位 懇請各位不吝賜教~
The spot price of wheat is $2.9/bushel. One year futures price is $3.0/bushel.
If the risk free rate is 5%, calculate the net convenience yield.
A. -0.019 B.+0.019 C.+0.0345 D.-0.0345
我的解法是利用商品期貨評價公式
t
F=S(1+r) - CY where CY=convenience yield
so 3=2.9*1.05-CY ==> CY=0.045 ???
怎麼算就是都不出來答案 懇請各位幫忙解惑 謝謝!!!
--
Tags:
期貨
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