"Derivative"exercise:Transaction costs

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來源: 正保會計(jì)網(wǎng)校編輯：小鞠橘桔 2020/12/14 11:24:23　字體：大小

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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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