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"Derivative"exercise:Basics of Derivative Pricing and Valuation
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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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