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发表于 2011-3-25 11:21 | 只看该作者

Reading 61: Futures Markets and Contracts-LOS a 习题精选

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Session 16: Derivative Investments: Forwards and Futures
Reading 61: Futures Markets and Contracts

LOS a: Explain why the futures price must converge to the spot price at expiration.

 

 

What is the difference between spot and futures prices? Spot prices are always:

A)
 lower than futures prices.
B)
 equal to the futures price at futures expiration.
C)
 delivered to meet the futures obligation at expiration.

 

The difference between the spot and the futures price must be zero at expiration to avoid arbitrage.

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2#
发表于 2011-3-25 11:34 | 只看该作者

Regarding futures contracts, the spot price refers to the:

A)
 price of the underlying asset in a particular location, or ‘spot’, in the future.
B)
 current market price of the asset underlying the futures contract.
C)
 present value of the expected future price.

The spot price refers to the current market price of the asset underlying the contract. It is the price for immediate delivery of the asset.

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3#
发表于 2011-3-25 11:34 | 只看该作者

At the expiration of a futures contract, the futures price is:

A)
 the same as the price at the initiation of the contract.
B)
 equal to the market price for immediate delivery of the asset.
C)
 above or below the market price, depending on supply and demand.

At expiration, the futures price is equal to the price of the asset for immediate delivery because the contract calls for delivery of the asset on that date. Note that at expiration, the spot price and the futures price are equal.

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4#
发表于 2011-3-25 11:35 | 只看该作者

At the expiration of a futures contract, the difference between the spot and the futures price is:

A)
 equal to zero.
B)
 always positive.
C)
 at its point of highest volatility.

The difference must be zero at expiration because both the spot price and the futures price are, at that point in time, the price of the underlying asset for immediate delivery.

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