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

六姑娘 · 2023年05月25日

fiduciary call是什么意思?

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?

1 个答案

Lucky_品职助教 · 2023年05月26日

嗨,努力学习的PZer你好:


本题考查put call parity,在put-call parity中,fiduciary call与protective put是等效的组合策略,它们实现了相同的保护策略和风险收益特征。

----------------------------------------------
加油吧,让我们一起遇见更好的自己!