题目
Assume a dollar asset provides no income for the holder and an investor can borrow money at risk-free interest rate r, then the forward price F at time T and spot price S at time t of the asset is related. If the investor observes that F>S×er(T - t), then the investor can take a profit by:
选项
A.Borrowing S dollars for a period of (T - t) at the rate of r, buy the asset, and short the forward contract.
B.Borrowing S dollars for a period of (T - t) at the rate of r, buy the asset, and long the forward contract.
C.Selling short the asset and invest the proceeds of S dollars for a period of (T - t) at the rate of r, and short the forward contract.
D.Selling short the asset and invest the proceeds of S dollars for a period of (T - t) at the rate of r, and long the forward contract.
答案
A
解析
If the forward price exceeds the future value of the spot price, an arbitrage profit can be made by borrowing funds, buying the asset, going short in the futures contract and delivering the asset under the short futures position at the delivery date. The proceeds of the sale will exceed the cost of the borrowing. 如果远期价格超过现货价格的未来价值，可以通过借入资金、购买资产、在期货合约中做空，并在交割日交割资产来套利。