NO.PZ2021061002000043
问题如下:
Which of the following
statements is incorrect?
选项:
A.protective put with
forward= long put + long forward +long risk-free bond
protective put with a forward
contract= fiduciary call
long stock = long forward +
long put
解释:
C is correct
题干问的是哪一项是不正确的,只有C选项错误。
本题考察的是put-call-forward
parity,它的推导逻辑如下:
因为 long stock + short
forward 可以合成一个无风险头寸,即long stock + short forward=Long
risk-free bond (注意这里的bond面值为远期合约价格 FP)
将该等式变形可得: long stock=long
forward + long risk-free bond,
又因为protective put with
asset= long put + long stock,将long stock用上面的公式代替,可得:
protective put with
forward= long put +long forward +long risk-free bond
我们发现无论期末股票价格如何变化,protective
put with forward的payoff与fiduciary
call是一样的。具体演示过程如下:
rt