题目
The spot price of oil is $80.00 per barrel with a volatility of 26% per annum. The risk-free rate is 5.0% per annum. What is the delta of a one-year futures contract when the one-year futures price is $90.00 per barrel?
选项
A.0.951
B.1.000
C.1.051
D.1.118
答案
C
解析
Delta of forward =e^(-qT) and delta of futures = e^((r-q)T). In this case, delta = e^(5%) =1.051.The other information is unnecessary.远期的delta=e^(－qT)，期货的delta= e^((r－q)T)。在这道题中，delta = e^(5%) =1.051. 题干中其他信息都是干扰信息。