Olivia.W🌸 · 2024年04月21日
NO.PZ2023040401000097
问题如下：
According to put-call parity, if a fiduciary call expires in the money, the payoff is most likely equal to the:
选项：
A.
face value of the risk-free bond.
B.
difference between the market value of the asset and the face value of the risk-free bond.
C.
market value of the asset
解释：
A fiduciary call, defined as a long position in a call and in a risk-free bond, generates a payoff that is equal to the market value of the asset if it expires in the money
看不懂为啥………………
pzqa35 · 2024年04月23日
嗨，努力学习的PZer你好：
这个题目时考我们put call parity的公式，也就是c+k=p+s，其中c+k这一部分被称为 fiduciary call，也就是long call+long risk free bond。那么在T时刻，当这个call是被行权的状态（题目中告诉我们），那么此时long call的payoff就是ST-X，而long risk free bond也就是在期初花钱买了bond，那么在到期后会收到本金X，最终的fiduciary call的payoff就是long call+long risk free bond=ST-X+X=ST。下图同学可以熟悉理解一下，这个是我们基础班的讲义哈：
----------------------------------------------就算太阳没有迎着我们而来，我们正在朝着它而去，加油！
NO.PZ2023040401000097 问题如下 Accorng to put-call parity, if a ficiary call expires in the money, the payoff is most likely equto the: A.favalue of the risk-free bon B.fferenbetween the market value of the asset anthe favalue of the risk-free bon C.market value of the asset A ficiary call, finea long position in a call anin a risk-free bon generates a payoff this equto the market value of the asset if it expires in the money expires in the money那不是没行权，要不然怎么expire了，应该是exercise。
NO.PZ2023040401000097 问题如下 Accorng to put-call parity, if a ficiary call expires in the money, the payoff is most likely equto the: A.favalue of the risk-free bon B.fferenbetween the market value of the asset anthe favalue of the risk-free bon C.market value of the asset A ficiary call, finea long position in a call anin a risk-free bon generates a payoff this equto the market value of the asset if it expires in the money ficiary call=protective put，那为什么选C啊
