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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

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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。

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