"Derivative"exercise:cash disbursement

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來源: 正保會(huì)計(jì)網(wǎng)校編輯：小鞠橘桔 2021/02/24 16:37:40　字體：大小

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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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