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大瓶子 · 2023年10月18日

老师,此类题如何推导,总是找不到思路?

NO.PZ2023040401000038

问题如下:

Which of the following combinations replicates a long derivative position?

选项:

A.

A short derivative and a long asset

B.

A long asset and a short risk-free bond

C.

A short derivative and a short risk-free bond

解释:

B is correct. A long asset and a short risk-free asset (meaning to borrow at the risk-free rate) can be combined to produce a long derivative position.

A is incorrect because a short derivative and a long asset combine to produce a position equivalent to a long risk-free bond, not a long derivative.

C is incorrect because a short derivative and a short risk-free bond combine to produce a position equivalent to a short asset, not a long derivative.

老师,此类题如何推导,总是找不到思路?可否帮我一一推导一下这三个选项。

1 个答案
已采纳答案

李坏_品职助教 · 2023年10月18日

嗨,从没放弃的小努力你好:


我们就以股票衍生品为例。long derivative position,意思是做多股票衍生品(可以认为是做多股票期货),那么股票价格越涨越赚钱。


所以肯定是需要Long asset的(asset指的是现货资产,股票现货)

但是为了做多股票现货,我们还需要借入资金,也就是利用无风险利率去borrow money,这个相当于short无风险资产(可以理解为做空了国债)。做空了无风险资产就获得了资金可以去买入股票现货了。

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