NO.PZ2021061002000035
问题如下:
Which
of the following statements about replication is most correct?
选项:
A.
A risk-free asset can be created from a
long position in the underlying asset and a short position in a derivative
B.
A long position in a derivative can be created
from a long position in the underlying asset and a long position in a risk-free asset
C.
A long position in the underlying asset can be created
from a short position in a derivative and a short position in a risk-free asset
解释:
A is correct
Long the underlying asset + short derivative 可以合成一个无风险资产的头寸,A正确
变形得:合成一个衍生品的多头头寸需要long the underlying asset+ short risk-free asset,B错
变形仍可得:合成一个资产的多头头寸,需要long derivative + long risk-free
asset,C错
是根据P+S=c+PV(K),选项A少提了期权C?可以解释为什么吗?