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"Derivative"exercise:Transaction costs

来源: 正保会计网校 2020-12-14
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Questions 1:

What is the most likely reason why arbitrage will not completely eliminate all pricing discrepancies for derivatives?

A 、Differences in risk aversion

B 、Transaction costs

C 、Inaccurate forecasts

Questions 2:

Over time, a forward contract most likely has variable:

A、 value and constant price.

B 、price and constant value.

C 、value and variable price.

View answer resolution
【Answer to question 1】B

【analysis】

B is correct. Transaction costs may render an arbitrage strategy unprofitable and can therefore prevent precise convergence of prices.

 A is incorrect. Differences in risk aversion are irrelevant for arbitrage because arbitrage transactions are riskless.

 C is incorrect. No forecasts are needed in implementing an arbitrage position.

【Answer to question 2】A

【analysis】

A is correct. The price of a forward contract remains constant throughout its life. It is set as part of the contract specifications. The value varies with changes in the price of the underlying. 

B is incorrect. The price is constant, but value varies with changes in the price of the underlying. 

C is incorrect. The price is constant, but value varies with changes in the price of the underlying.

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