NO.PZ2018062007000081
问题如下:
Holding an asset and buying a put on that asset is equivalent to:
选项:
A.initiating a fiduciary call.
B.buying a risk- free zero- coupon bond and selling a call option.
C.selling a risk- free zero- coupon bond and buying a call option.
解释:
A is correct. Under put–call parity, initiating a fiduciary call (buying a call option on an asset that expires at time T together with a risk- free zero- coupon bond that also expires at time T) is equivalent to holding the same asset and initiating a protective put on it (buying a put option with an exercise price of X that can be used to sell the asset for X at time T).
中文解析:
这道题考察的是put-call parity
我们看等式右边就是holding an asset and buying a put,等于等式左边的部分,等式左边的部分刚好就是fiduciary call
fiduciary call是什么意思?