NO.PZ2020021203000088
问题如下:
A range forward contract involves buying a call and selling a put where the strike price of the call is greater than that of the put and the maturities of the two are the same. Sketch the payoff from the contract.
选项:
解释:
The payoff of a range forward contract is of the form:
Note that when the strike prices are identical, a range forward contract will be equivalent to a regular forward contract.