NO.PZ2016031201000046
问题如下:
Which of the following transactions is the equivalent of a synthetic long call position?
选项:
A.Long asset, long put, short call
B.Long asset, long put, short bond
C.Short asset, long call, long bond
解释:
B is correct.
According to put−call parity, a synthetic call can be constructed by combining a long asset, long put, and short bond positions.
中文解析:
本题考察的是put call parity,P+S=C+K
合成call,需要把公式变形一下,所以得到C=P+S-K, -K就是short bond
谢谢