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Ivana 🍭 · 2023年05月25日

请问B选项不应该少了一个long put 吗

  1. CFA I
  2. Derivative

NO.PZ2021061002000045

问题如下：

Which of the following statements about put–call–forward parity is incorrect?

选项：

A.

Put–call–forward parity is based on the assumption that arbitrage is impossible in the spot, forward and options markets.

B.

It is required to long a forward contract and a risk- free bond with the face value of F0 (T)

C.

The cost of the fiduciary call may not equal the cost of the synthetic protective put,

解释：

C is correct

本题需要选出表述错误的选项，只有C是错误的，因为fiduciary call的成本= synthetic protective put的成本。

Put–call–forward parity基于在现货、远期和期权市场内不可能进行套利的假设。A 表述是正确的，不能选。

synthetic protective put要求long put，long forward，long risk-free bond，其中bond的面值为F0 (T)。B表述正确，不能选。

请问B选项不应该少了一个long put 才完整吗？

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1 个答案

Lucky_品职助教 · 2023年05月26日

嗨，努力学习的PZer你好：


你的说法是对的，但单看B也没有错，只是不够严谨，C明显错了，所以选C

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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