"Derivative"exercise:Transaction costs

下載正保會(huì)計(jì)網(wǎng)校APP 訂閱最新報(bào)考消息

來源: 正保會(huì)計(jì)網(wǎng)校編輯：小鞠橘桔 2020/12/14 11:24:23　字體：大小

選課中心

多樣班次滿足需求

選課中心

資料專區(qū)

干貨資料助力備考

資料專區(qū)

報(bào)考指南

報(bào)考條件一鍵了解

報(bào)考指南

學(xué)習(xí)是一個(gè)不斷積累的過程，每天學(xué)習(xí)一點(diǎn)，每天進(jìn)步一點(diǎn)！為了幫助大家更高效地備考2021年CFA考試，正保會(huì)計(jì)網(wǎng)校每日為大家上新CFA習(xí)題供大家練習(xí)。讓網(wǎng)校與您一起高效備考2021年CFA考試，夢(mèng)想成真！

Questions 1:

What is the most likely reason why arbitrage will not completely eliminate all pricing discrepancies for derivatives?

A 、Differences in risk aversion

B 、Transaction costs

C 、Inaccurate forecasts

Questions 2:

Over time, a forward contract most likely has variable:

A、 value and constant price.

B 、price and constant value.

C 、value and variable price.

View answer resolution

【Answer to question 1】B

【analysis】

B is correct. Transaction costs may render an arbitrage strategy unprofitable and can therefore prevent precise convergence of prices.

A is incorrect. Differences in risk aversion are irrelevant for arbitrage because arbitrage transactions are riskless.

C is incorrect. No forecasts are needed in implementing an arbitrage position.

【Answer to question 2】A

【analysis】

A is correct. The price of a forward contract remains constant throughout its life. It is set as part of the contract specifications. The value varies with changes in the price of the underlying.

B is incorrect. The price is constant, but value varies with changes in the price of the underlying.

C is incorrect. The price is constant, but value varies with changes in the price of the underlying.

成功=時(shí)間+方法，自制力是這個(gè)等式的保障。世上無天才，高手都是來自刻苦的練習(xí)。而人們經(jīng)常只看到“牛人”閃耀的成績(jī)，其成績(jī)背后無比寂寞的勤奮。小編相信，每天都在勤奮練習(xí)，即使是一點(diǎn)點(diǎn)的進(jìn)步，大家一定可以成為人人稱贊的“牛人”。

點(diǎn)擊了解更多CFA考試資訊>>