NO.PZ2020021203000117
问题如下:
Provide an alternative decomposition of the chooser option to that given in the chapter so that it is a call maturing at time T1 plus a put maturing at time T2 .
选项:
解释:
With the notation in the text we can write max(c, p) = p + max(c - p, 0) = p + max(S - PV(K), 0)
This shows that the chooser option is a portfolio consisting of:
• A put option maturing at time T2, and
• A call option with strike price PV(K) maturing at time T1.
这个题不太会,请问max(c,p)这个等式是怎么推出来的啊,然后在chooser option里面,call和put的到期日是不同的吗