题目
The dividend yield of an asset is 10% per annum. What is the delta of a long forward contract on the asset with 6-month to maturity?
选项
A.0.95
B.1.00
C.1.05
D.Cannot be determined without further information.
答案
A
解析
The delta of the forward 〖e〗^(-qT)=e^(-10%×0.5)=0.95远期的delta为〖e〗^(－qT)=e^(－10%×0.5)=0.95