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大瓶子 · 2023年09月10日

这个怎么推导出来的呢？

  1. CFA I
  2. Derivative

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

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.

 Purchasing a long forward contract and a risk-free bond creates a synthetic asset

这个怎么推导出来的呢？

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已采纳答案

pzqa35 · 2023年09月11日

嗨，爱思考的PZer你好：


我们在课堂上有讲过，对于long forward，我们可以利用无风险资产和underlying asset来合成：


此时从头寸的角度，我们可以理解为FP=S-rf，那么同样的，S=FP+rf。

T=0时刻，我们由于股票停牌等原因可能无法购买到这个资产，但是我已经准备好了S0的资金，那么此时我签订一个forward，约定未来以FP价格买入资产。那么在0时刻我将S0的资金存入到银行，在未来就可以收到S0（1+rf）T这么多钱，这刚好等于FP这个价格，我就可以在未来直接买入资产。

这个知识点老师在Put-Call forward parity中也有详细讲解，同学可以1.5倍速听一下课程加深理解。

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