如下

NO.PZ2023040401000100

问题如下：

According to put–call–forward parity, for European options, a long put on an asset is equal to:

选项：

long call + long risk-free bond + short forward.

short call + long risk-free bond + short forward.

short call + short risk-free bond + long forward.

解释：

The put–call–forward parity relationship states that

That is,

Long forward + Long put = Long call + Long risk-free bond.

Rearranging terms gives

Long put = Long call + Long risk-free bond + Short forward.

B and C are incorrect. Long put = Long call + Long risk-free bond + Short forward.

答案中式子左边的这个来源不是long了一个F等值的rf bond得来的么？F在开始的时候value=0呀

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Lucky_品职助教 · 2023年08月15日

嗨，努力学习的PZer你好：

F0(T)意思是在0时刻定的远期的价格，按照折现率折现，也就是S0，这个公式代表了远期

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NO.PZ2023040401000100 问题如下 Accorng to put–call–forwarparity, for Europeoptions, a long put on asset is equto: A.long call + long risk-free bon+ short forwar B.short call + long risk-free bon+ short forwar C.short call + short risk-free bon+ long forwar The put–call–forwarparity relationship states thatThis,Long forwar+ Long put = Long call + Long risk-free bonRearranging terms givesLong put = Long call + Long risk-free bon+ Short forwarB anC are incorrect. Long put = Long call + Long risk-free bon+ Short forwar A最后是不是应该short一个面值为F0（T）的risk-free bond

2023-10-22 18:19 1 · 回答

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