题目
A trader runs a cash and future arbitrage book on the S&P 500 index. Which of the following are the major risk factors?I Interest rateII Foreign exchangeIII Equity priceIV Dividend assumption risk
选项
A.I and II only
B.I and III only
C.I, III and IV only
D.I, II, III and IV
答案
C
解析
The cost of carry model used to determine the no-arbitrage future price for a stock index, does not use the foreign exchange. 持有成本模型用于确定无套利价格，并不涉及外汇的使用。