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Lilly · 2023年08月13日

如下

NO.PZ2023040401000098

问题如下:

According to put–call–forward parity, the difference between the price of a put and the price of a call is most likely equal to the difference between:

选项:

A.

forward price and spot price discounted at the risk-free rate.

B.

spot price and exercise price discounted at the risk-free rate.

C.

exercise price and forward price discounted at the risk-free rate.

解释:

Put-call-forward parity can be written as:

p0 – c0 = [X – F0(T)]/(1 + r)T

This means that the difference between the price of a put and the price of a call is equal to the difference between exercise price and forward price discounted at the risk-free rate.

A is incorrect. Neither put–call parity nor put–call–forward parity support this interpretation.

B is incorrect. Neither put–call parity nor put–call–forward parity support this interpretation.

如果那个discounted at risk free rate是只针对最近的一项那其实B 也是对的,这道题很误导诶

3 个答案

Lucky_品职助教 · 2023年08月15日

嗨,努力学习的PZer你好:


同学还是尽量按照出题人的角度来思考,不然题目容易做错哦

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

Lucky_品职助教 · 2023年08月15日

嗨,爱思考的PZer你好:


p0 – c0 = [X – F0(T)]/(1 + r)T

不是的,是行权价和远期价格之差的折现值

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努力的时光都是限量版,加油!

Lilly · 2023年08月15日

你用C+K = P +S

Lucky_品职助教 · 2023年08月15日

嗨,从没放弃的小努力你好:


题干说了是the difference between,意思是两者之差,所以不是仅针对一项进行折现

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加油吧,让我们一起遇见更好的自己!

Lilly · 2023年08月15日

如果B的意思是【spot price】 和 【exercise price discounted at the risk-free rate 】的区别,那其实也是对的不是么,我说的是后半段

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