NO.PZ2023091802000114
问题如下:
Which option combination most closely simulates the economics of a short position in a futures contract?
选项:
A.
Payoff of a long call plus a short put
B.
Profit of a long call plus a short put
C.
Payoff of a long put plus short call
D.
Profit of long put plus short call
解释:
Payoff of the long put = Max[0, K – S(t)] and payoff of short call =
-Max[0, S(t) – K] = Min[K – S(t)], such that the combination payoff = K – S(t)
In regard to D, please note: Profit = the
payoff – initial investment [net premium]
sometime also profit = payoff – FV (initial
investment)
这道题没看懂,主要意思是说啥