"Derivative"exercise:Transaction costs
学习是一个不断积累的过程,每天学习一点,每天进步一点!为了帮助大家更高效地备考2021年CFA考试,正保会计网校每日为大家上新CFA习题供大家练习。让网校与您一起高效备考2021年CFA考试,梦想成真!
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.
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.
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.
成功=时间+方法,自制力是这个等式的保障。世上无天才,高手都是来自刻苦的练习。而人们经常只看到“牛人”闪耀的成绩,其成绩背后无比寂寞的勤奋。小编相信,每天都在勤奋练习,即使是一点点的进步,大家一定可以成为人人称赞的“牛人”。