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
A long asset and a short risk-free bond
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。