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"Derivative"exercise:Basics of Derivative Pricing and Valuation

来源: 正保会计网校 编辑:小鞠橘桔 2020/10/20 09:30:15 字体:

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Questions 1:

A perfectly hedged position consisting of a derivative and its underlying asset will most likely yield a return that is:

A、 equal to the risk-free rate.

B 、smaller than the risk-free rate.

C 、greater than the risk-free rate.

Questions 2:

A high convenience yield is most likely associated with holding:

A 、bonds.

B、 equities.

C、 commodities.

View answer resolution
【Answer to question 1】A

【analysis】

A is correct. If a risk-free position earns a return that is different from the risk-free return, arbitrage will lead to the elimination of the mispricing. 

B is incorrect. If a risk-free position earns a return that is smaller than the risk-free return, arbitrage will lead to the elimination of the mispricing. 

C is incorrect. If a risk-free position earns a return that is smaller than the risk-free return, arbitrage will lead to the elimination of the mispricing.

【Answer to question 2】C

【analysis】

C is correct. Convenience yield is primarily associated with commodities and generally exists as a result of difficulty in shorting the commodity or unusually tight supplies. 

A is incorrect. For most financial assets, convenience yield is either nonexistent or extremely limited. 

B is incorrect. For most financial assets, convenience yield is either nonexistent or extremely limited.

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