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"Derivative"exercise:cash disbursement
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Questions 1:
Valuation of a swap during its life will least likely involve the:
A 、application of the principle of no arbitrage.
B、 use of replication.
C、 investor’s risk aversion.
Questions 2:
If a forward contract requires no cash outlay at initiation, it is most likely true that at initiation:
A、 value exceeds price.
B、 price exceeds value.
C 、price is equal to value.
View answer resolution
【Answer to question 1】C
【analysis】
C is correct. Risk neutrality, not risk aversion, is a key element of derivatives pricing, including swaps.
A is incorrect. The statement is true because the principle of no arbitrage is applied in pricing swaps.
B is incorrect. The statement is true because replication is used in pricing swaps.
【Answer to question 2】B
【analysis】
B is correct. At initiation, value is equal to zero. Price is a positive number that states the amount that must be paid when the purchase takes place.
A is incorrect. Value is zero; price is a positive number.
C is incorrect. Value is zero; price is a positive number.
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