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zhy · 2018年11月04日

问一道题:NO.PZ2018062007000051 [ CFA I ]

问题如下图:

    

选项:

A.

B.

C.

解释:



A中的protective put 和

C+ K = P+ FP/(1+r)^t 中 P是同一个么?


1 个答案

菲菲_品职助教 · 2018年11月05日

同学你好,两个并不是同一个意思。

protecive put是一种期权策略,称为保护性看跌期权。指的是投资者买入看跌期权,同时持有之前买入的标的资产。本质就是,无论标的资产在期权期限内下跌多少,看跌期权都可以保证投资者能够用期权执行价格卖出他的资产,起到一个保护作用。

而平价公式里面的P指的就是put option的意思。

 

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