NO.PZ2023040401000096
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
Long call, short put, long forward contract, short risk-free bond
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.
因为Forward Put-call parity的公式左右都有rf,这题应该如何理解?而且光看题目也没有出现synthetic asset的说明