发帖
雷达卡
2. 下边的这个题目应该如何作答呢？尤其是第二问，之前从未接触过金融投资学，一直都不太懂是什么意思。
The spot exchange rate is euro1 = $1:2 . The European riskless
rate equals 4% while the American one is 1% . There are currency futures with
maturity T = 1 and allowing us to buy euro 100000 for F dollars.
a) Compute F .
b) If F = 120000 implement an arbitrage.
3. 还有这种，如果有dividend了，应该怎么计算呢？
An index value equals I0 = 100, and there are futures with maturity T in one year. The index will pay two dividends
before T. Both dividends equal 10 and will be paid in four and eight months, respectively. The riskless rate vanishes.
a) Compute the quotation F of the future contract.
b) Compute an arbitrage for F = 100.
希望能得到牛人的详细解答，一直不懂这些内容的意思，十分困扰，希望有一天能完全弄明白。跪谢！！
京公网安备 11010802022788号
