题目
Consider a forward contract on a stock market index. Identify the false statement: Everything else being constant:
选项
A.The forward price depends directly upon the level of the stock market index.
B.The forward price will fall if underlying stocks increase the level of dividend payments over the life of the contract.
C.The forward price will rise if time to maturity is increased.
D.The forward price will fall if the interest rate is raised.
答案
D
解析
The price of an equity index forward contract is: F = Se(r - q)t. The forward price (F) is positively related to the spot price (S), the risk-free interest rate (r), and the time to maturity (t) and is negatively related to the dividend yield (q). Therefore choice d is false. 股指期货合约的价格为:F = Se^((r - q)t)。远期价格(F)与现货价格(S)、无风险利率(r)、到期时间(t)成正相关，与股息收益率(q)成负相关，因此D是错误的。