题目
Using the continuous time forward pricing model, what is the no-arbitrage price of a 3-month forward contract if the interest rate is 3.2 percent and the spot price of the asset is $750?
选项
A.$778
B.$736
C.$729
D.$756
答案
D
解析
The formula is: F0 = S0erT.Using this formula we calculate the forward price as 750e(0.032)(0.25) = $756.公式是F0 = S0e^(Rt)，利用这个公式，我们计算远期价格为750e^[(0.032)(0.25)] = 756美元。