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Alle Oberthemen / Finance & Investment / Derivatives / Derivatives
63
The spot price of an investment asset that provides no income is $30 and the risk-free rate for all maturities (with continuous compounding) is 10%. What is the three-year forward price? 
A.  $40.50
B.  $22.22
C.  $33.00
D.$33.16
Answer:  A

The 3-year forward price is the spot price grossed up for 3 years at the risk-free rate. It is 30e0.1×3 =$40.50.
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Karteninfo:
Autor: CoboCards-User
Oberthema: Finance & Investment
Thema: Derivatives
Veröffentlicht: 27.10.2015

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