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momo · 2024年01月16日

long

NO.PZ2018062007000072

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.

中文解析:

本题考察的是合成一个long derivative头寸,如下图红线框出来的部分,选B 。


a为什么不对呢

1 个答案

李坏_品职助教 · 2024年01月16日

嗨,爱思考的PZer你好:


题目问的是long derivative position等于什么?


按照你截的图,Long Derivative = Long Asset - 无风险资产。


A的意思是,Long Derivative = Long asset - Derivative。这里-Derivative应该改为无风险资产才对。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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