金价目前500美元每盎司.远期合约缴费至700美元在一年内购买或出售黄金交割..the price of gold is currently $500 per ounce.Forward contracts are avaiable to buy or sell gold at $700 for delivery in one year.An arbitrageur can
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金价目前500美元每盎司.远期合约缴费至700美元在一年内购买或出售黄金交割..the price of gold is currently $500 per ounce.Forward contracts are avaiable to buy or sell gold at $700 for delivery in one year.An arbitrageur can
金价目前500美元每盎司.远期合约缴费至700美元在一年内购买或出售黄金交割..
the price of gold is currently $500 per ounce.Forward contracts are avaiable to buy or sell gold at $700 for delivery in one year.An arbitrageur can borrow money at 10% per annum.What should the arbitrageur do?Assume that the cost of storing gold is zero
金价目前500美元每盎司.远期合约缴费至700美元在一年内购买或出售黄金交割..the price of gold is currently $500 per ounce.Forward contracts are avaiable to buy or sell gold at $700 for delivery in one year.An arbitrageur can
即期黄金价格是500美元/盎司,1年期的远期黄金价格是700美元/盎司,而美元的1年期的融资利率为10%,黄金的借贷利率为0.
在这中情况下,客户可以通过借入美元,同时做一个BUY-SELL黄金的掉期交易套利.
假如客户先借入5万美元,期限为1年,利率为10%.
客户先在即期市场按500美元/盎司买入100盎司的黄金,同时做一个1年期的远期卖出黄金的交易,卖出价格是700美元/盎司.
1年以后到期日,客户将持有的100盎司黄金进行远期交割,得到700美元,然后客户归还美元融资的本息合计550美元,客户获利150美元.