有一点疑问

NO.PZ2020021203000117

问题如下：

Provide an alternative decomposition of the chooser option to that given in the chapter so that it is a call maturing at time T1 plus a put maturing at time T2 .

选项：

解释：

With the notation in the text we can write max(c, p) = p + max(c - p, 0) = p + max(S - PV(K), 0)

This shows that the chooser option is a portfolio consisting of:

• A put option maturing at time T2, and

• A call option with strike price PV(K) maturing at time T1.

如果用Put call parity转换的话，那答案中的T1等于T2？P和C的执行价格一样？put cll parity 的前提不是具有相同的行使价与到期日么？

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1 个答案

pzqa39 · 2024年11月14日

嗨，努力学习的PZer你好：

T1不等于T2，执行价格是一样的。这个就是原版书提供的一种推导的思路，不需要太纠结它的合理性，知道有这样一种方式即可，考试也不太可能会考这种推导的内容。

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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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