开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

lyphardsun · 2023年10月22日

答案是不是错了？

  1. CFA I
  2. Derivative

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：

A.

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

B.

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

C.

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.

A选项最后是不是应该short一个面值为F0（T）的risk-free bond

添加评论
1 个答案

李坏_品职助教 · 2023年10月22日

嗨，爱思考的PZer你好：


根据公式变形，p = c + X/(1+r)t - F0T/(1+r)t，

右边是一个Long Call + long risk free bond + short forward。


你要是再加一个short bond那就匹配不上了啊，那个F0T是对应的short forward。

----------------------------------------------
努力的时光都是限量版，加油！

  • 1

    回答

  • 0

    关注

  • 120

    浏览
相关问题

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

2023-08-13 22:36 1 · 回答