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Nicole Xiang · 2023年08月24日

请问

  1. CFA I
  2. Derivative

NO.PZ2018062007000085

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.

B.

Long call, short put, long forward contract, short risk- free bond.

C.

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.

中文解析：

这道题考察的是put-call parity的一个变形。

我们知道S是一个不确定的现货价格，那么假设持有S同时short forward contract，就可以得到一个无风险收益，可以等效为一个risk-free bond，也就是S + short forward contract = long risk-free bond，等式两边变换一下可以得到：S = -short forward contract + long risk-free bond = long forward contract + long risk-free bond；

再把这个等式带入到P + S = C + K，得到P + long forward contract + long risk-free bond = C + K，K是无风险债券 Risk free bond，

K = P + long forward contract + long risk-free bond - C，这样就构造了一个无风险组合，A选项对。

请问这道题怎么区分 rf 和 K呢？ 都是 risk free bond 

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1 个答案

Lucky_品职助教 · 2023年08月25日

嗨，努力学习的PZer你好：


我的理解是k和FP都使用的是risk-free bond，但是这道选择题的正确答案是A，刚好是k，首先c选项是排除掉的，call和put在构建risk-free是不能同时long的，其次put和forward的方向是要一致的，所以B错了

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