"Derivative"exercise:Pricing of derivative products

来源: 正保会计网校编辑：小鞠橘桔 2020/09/17 09:11:31　字体：大小

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Questions 1:

There are two forward contracts, contract 1 and contract 2, on the same underlying. The underlying makes no cash payments, does not yield any nonfinancial benefits, and does not incur any storage costs. Contract 1 expires in one year, and contract 2 expires in two years. It is most likely that the price of contract 1:

A、 is equal to the price of contract 2.

B 、is less than the price of contract 2.

C、 exceeds the price of contract 2

Questions 2:

Which of the following statements is least accurate concerning differences in the pricing of forwards and futures?

A、 Differences in the pattern of cash flows of forwards and futures can explain pricing differences.

B、 Pricing differences can arise if futures prices and interest rates are uncorrelated.

C、 Interest rate volatility can explain pricing differences

View answer resolution

【Answer to question 1】B

【analysis】

B is correct. The forward price is the spot price compounded at the risk-free rate over the life of the contract. Because contract 2 has the longer life, compounding will lead to a larger value.

A is incorrect. The price of contract 1 will be less than the price of contract 2.

C is incorrect. The price of contract 1 will be less than the price of contract 2.

【Answer to question 2】B

【analysis】

B is correct. If futures prices and interest rates are uncorrelated, the prices of forwards and futures will be identical.

A is incorrect. The statement is true.

C is incorrect. The statement is true.

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