NO.PZ2020011901000078
问题如下:
What is the payoff from a portfolio consisting of a short forward contract with maturity T and a short put option with maturity T? Assume that the strike price for the option is the forward price.
选项:
解释:
The payoff is
To make sure you understand why this is true, you should consider the ST > K and the ST < K cases separately. The payoff is the payoff from a short call option with a strike price equal to the forward price.
问什么不是max(k-st,0)