开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

AgnesWu · 2023年05月19日

关于risk free的理解

  1. CFA I
  2. Derivative

NO.PZ2018062007000085

问题如下：

Under put–call–forward parity, which of the following transactions is risk free?

选项：

A.

Short call, long put, long forward contract, long risk- free bond.

B.

Long call, short put, long forward contract, short risk- free bond.

C.

Long call, long put, short forward contract, short risk- free bond.

解释：

A is correct. Purchasing a long forward contract and a risk- free bond creates a synthetic asset. Combining a long synthetic asset, a long put, and a short call is risk free because its payoffs produce a known cash flow of the value of the exercise price.

中文解析：

这道题考察的是put-call parity的一个变形。

我们知道S是一个不确定的现货价格，那么假设持有S同时short forward contract，就可以得到一个无风险收益，可以等效为一个risk-free bond，也就是S + short forward contract = long risk-free bond，等式两边变换一下可以得到：S = -short forward contract + long risk-free bond = long forward contract + long risk-free bond；

再把这个等式带入到P + S = C + K，得到P + long forward contract + long risk-free bond = C + K，K是无风险债券 Risk free bond，

K = P + long forward contract + long risk-free bond - C，这样就构造了一个无风险组合，A选项对。

题面问的risk free，我首先反应为公式c+K=p+F+rf 所以变形以后三个答案都不匹配。我想问的是若不从答案出发反推问题，这个问法是不是也可以理解为forward折现的rf

添加评论
1 个答案
已采纳答案

Lucky_品职助教 · 2023年05月20日

嗨，爱思考的PZer你好：


你的思路也可以，K是无风险债券，K = P + long forward contract + long risk-free bond - C，这样就构造了一个无风险组合，也就是A选项。

put–call–forward parity中两个risk free bond的面值不同~

protective put with forward contract 中risk free bond面值是forward price，会有债券本身需要面临的风险。而题干问的是无风险，意味着这些组合应当能获得无风险收益的情况。所以计算的是k

----------------------------------------------
努力的时光都是限量版，加油！

CFA一定过！ · 2023年12月09日

我也是和提问题的人一样的思路，也是想到那个公式。 但还是不理解为什么不是求Rf

  • 1

    回答

  • 0

    关注

  • 284

    浏览
相关问题

NO.PZ2018062007000085问题如下 Unr put–call–forwarparity, whiof the following transactions is risk free? A.Short call, long put, long forwarcontract, long risk- free bonB.Long call, short put, long forwarcontract, short risk- free bonC.Long call, long put, short forwarcontract, short risk- free bon A is correct. Purchasing a long forwarcontraana risk- free boncreates a synthetic asset. Combining a long synthetic asset, a long put, ana short call is risk free because its payoffs proa known cash flow of the value of the exercise price. 中文解析这道题考察的是put-call parity的一个变形。我们知道S是一个不确定的现货价格，那么假设持有S同时short forwarcontract，就可以得到一个无风险收益，可以等效为一个risk-free bon也就是S + short forwarcontra= long risk-free bon等式两边变换一下可以得到S = -short forwarcontra+ long risk-free bon= long forwarcontra+ long risk-free bon再把这个等式带入到P + S = C + K，得到P + long forwarcontra+ long risk-free bon= C + K，K是无风险债券 Risk free bonK = P + long forwarcontra+ long risk-free bon- C，这样就构造了一个无风险组合，A对。 为什么s价格不确定要short forwarcontract而不是long forwarcontract？

2024-01-06 15:11 1 · 回答

NO.PZ2018062007000085问题如下 Unr put–call–forwarparity, whiof the following transactions is risk free? A.Short call, long put, long forwarcontract, long risk- free bonB.Long call, short put, long forwarcontract, short risk- free bonC.Long call, long put, short forwarcontract, short risk- free bon A is correct. Purchasing a long forwarcontraana risk- free boncreates a synthetic asset. Combining a long synthetic asset, a long put, ana short call is risk free because its payoffs proa known cash flow of the value of the exercise price. 中文解析这道题考察的是put-call parity的一个变形。我们知道S是一个不确定的现货价格，那么假设持有S同时short forwarcontract，就可以得到一个无风险收益，可以等效为一个risk-free bon也就是S + short forwarcontra= long risk-free bon等式两边变换一下可以得到S = -short forwarcontra+ long risk-free bon= long forwarcontra+ long risk-free bon再把这个等式带入到P + S = C + K，得到P + long forwarcontra+ long risk-free bon= C + K，K是无风险债券 Risk free bonK = P + long forwarcontra+ long risk-free bon- C，这样就构造了一个无风险组合，A对。 请问这道题怎么区分 rf 和 K呢？ 都是 risk free bon

2023-08-24 09:21 1 · 回答

NO.PZ2018062007000085 问题如下 Unr put–call–forwarparity, whiof the following transactions is risk free? A.Short call, long put, long forwarcontract, long risk- free bon B.Long call, short put, long forwarcontract, short risk- free bon C.Long call, long put, short forwarcontract, short risk- free bon A is correct. Purchasing a long forwarcontraana risk- free boncreates a synthetic asset. Combining a long synthetic asset, a long put, ana short call is risk free because its payoffs proa known cash flow of the value of the exercise price. 中文解析这道题考察的是put-call parity的一个变形。我们知道S是一个不确定的现货价格，那么假设持有S同时short forwarcontract，就可以得到一个无风险收益，可以等效为一个risk-free bon也就是S + short forwarcontra= long risk-free bon等式两边变换一下可以得到S = -short forwarcontra+ long risk-free bon= long forwarcontra+ long risk-free bon再把这个等式带入到P + S = C + K，得到P + long forwarcontra+ long risk-free bon= C + K，K是无风险债券 Risk free bonK = P + long forwarcontra+ long risk-free bon- C，这样就构造了一个无风险组合，A对。 是如何得出求的是K呢

2023-07-15 19:51 2 · 回答

NO.PZ2018062007000085 问题如下 Unr put–call–forwarparity, whiof the following transactions is risk free? A.Short call, long put, long forwarcontract, long risk- free bon B.Long call, short put, long forwarcontract, short risk- free bon C.Long call, long put, short forwarcontract, short risk- free bon A is correct. Purchasing a long forwarcontraana risk- free boncreates a synthetic asset. Combining a long synthetic asset, a long put, ana short call is risk free because its payoffs proa known cash flow of the value of the exercise price. 中文解析这道题考察的是put-call parity的一个变形。我们知道S是一个不确定的现货价格，那么假设持有S同时short forwarcontract，就可以得到一个无风险收益，可以等效为一个risk-free bon也就是S + short forwarcontra= long risk-free bon等式两边变换一下可以得到S = -short forwarcontra+ long risk-free bon= long forwarcontra+ long risk-free bon再把这个等式带入到P + S = C + K，得到P + long forwarcontra+ long risk-free bon= C + K，K是无风险债券 Risk free bonK = P + long forwarcontra+ long risk-free bon- C，这样就构造了一个无风险组合，A对。 P + long forwarcontra+ long risk-free bon= C + K这里假如我把long risk-free bon到等式一边，其他所有东西移动到另一边，这也是构建了一个新的risk-free的组合吗？虽然结论和A的区别就是整体加了一个负号？

2023-06-28 10:36 1 · 回答