问题: 哪位会解金融衍生品的题目啊？
A trader owns gold as part of a long-term investment portfolio. The trader can buy gold for $450 per ounce and sell it for $499 per ounce. The trader can borrow funds at 5.85% per year and invest funds at 4.88% per year (both with continuous compounding). For what range of 1-year forward prices of gold does the trader have no arbitrage opportunities?
解答:
一个交易者拥有黄金作为长期"有价证券总存量",投资者可以以每盎司450美元买到黄金,然后以499美元卖出,且该投资者要以5.85%每年的贷款利率向基金贷款,同时可获得基金每年4.88%的年收益(两者为连续组合),但投资者在这一年内是不得做黄金价格的套利交易的.
(应该是说你要向别人借钱,而向他借钱的好处要在一年后的黄金差价中获得.感觉还有很多不具体的地方,小心上档!!!个人看法)
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