No.PZ2018062007000085 (选择题)
来源:
Under put–call–forward parity, which of the following transactions is risk free?
您的回答C, 正确答案是: A
A
Short call, long put, long forward contract, long risk- free bond.
B
Long call, short put, long forward contract, short risk- free bond.
C
不正确Long call, long put, short forward contract, short risk- free bond.
这道题考察的是put-call parity的一个变形。
我们知道S是一个不确定的现货价格,那么假设持有S同时short forward contract,就可以得到一个无风险收益,可以等效为一个risk-free bond,也就是S + short forward contract = long risk-free bond,等式两边变换一下可以得到:S = -short forward contract + long risk-free bond = long forward contract + long risk-free bond;
再把这个等式带入到P + S = C + K,得到P + long forward contract + long risk-free bond = C + K,K是无风险债券 Risk free bond,
K = P + long forward contract + long risk-free bond - C,这样就构造了一个无风险组合,A选项对。
请问老师,如果按照这个说法的话,这个平价公式就有两个无风险债券了,那么为什么只看K而不看另外一个呢?