NO.PZ2016031201000045
问题如下:
Based on put-call parity, a trader who combines a long asset, a long put, and a short call will create a synthetic:
选项:
A.long bond.
B.fiduciary call.
C.protective put.
解释:
A is correct.
A long bond can be synthetically created by combining a long asset, a long put, and a short call. A fiduciary call is created by combining a long call with a risk free bond. A protective put is created by combining a long asset with a long put.
中文解析:
本题考察put call parity,即P+S=C+K
根据题意,long stock+long put+short call,即P+S-C
根据P+S=C+K,P+S-C=K,K表示long bond,所以long stock+long put+short call可以合成一个债券多头头寸。
有一点一直模棱两可,虽然题目也能做对,
ck=ps 中,k 和 s 分别是什么?