Baran

3、Which of the following is an important effect of dividends on the cost-of-carry model? Dividends:

A) reduce the value of the spot prices.
 
B) eliminate arbitrage opportunities. 
 
C) reduce the cost of carry. 
 
D) do not affect the cost-of-carry model.

Baran

The  correct answer is C

The cost of carry must be reduced by the dividends that are expected to be received while holding the underlying stock.

Baran

The  correct answer is B
The formula is: 1.2217e(0.02-0.04)(0.25) = $1.2156.

Foreign currencies are similar to index futures when it comes to computing the futures price. Since exchange rates are driven by interest-rate differentials, the exchange rate can be treated as an asset that pays a continuous rate, rf . More simply, interest-rate parity states that the forward exchange rate (measured in $/ unit of foreign currency), F, must be related to the spot exchange rate, S, and the interest-rate differential between the U.S. and the foreign country.

Baran

2、Assume that the short-term interest rate in London is 4 percent and that the short-term interest rate in the US is 2 percent. If the current exchange rate between the euro and dollar is 1=US$1.2217, using the continuous time futures pricing model, what is the price of a three-month futures contract?

A) $1.2207.
 
B) $1.2156.
 
C) $1.2144.
 
D) $1.2235.

Baran

The  correct answer is C
1015e(0.041 - 0.02)(0.25) = 1020.34

[此贴子已经被作者于2009-6-24 16:04:16编辑过]