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"Derivative"exercise:Transaction costs
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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.
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