问一道题：NO.PZ2018062007000082

问题如下：

If an underlying asset’s price is less than a related option’s strike price at expiration, a protective put position on that asset versus a fiduciary call position has a value that is:

选项：

lower.

the same.

higher.

解释：

B is correct. On the one hand, buying a call option on an asset and a risk- free bond with the same maturity is known as a fiduciary call. If an underlying asset’s price is less than a related option’s strike price at expiration，the total value of the fiduciary call is X. On the other hand, holding an underlying asset, ST, and buying a put on that asset is known as a protective put. the total value of the protective put is（X-ST)+ST = X . A protective put and a fiduciary call produce the same result.

是不是不论怎么样，这两个组合的总是相等的

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1 个答案

xiaowan_品职助教 · 2020年03月02日

嗨，从没放弃的小努力你好：

是的同学，这个组合是符合期权平价公式 C+K=P+S的。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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NO.PZ2018062007000082问题如下If unrlying asset’s priis less tha relateoption’s strike priexpiration, a protective put position on thasset versus a ficiary call position ha value this: A.lower.B.the same. C.higher. B is correct. On the one han buying a call option on asset ana risk- free bonwith the same maturity is known a ficiary call. If unrlying asset’s priis less tha relateoption’s strike priexpiration，the totvalue of the ficiary call is X. On the other han holng unrlying asset, ST, anbuying a put on thasset is known a protective put. the totvalue of the protective put is（X-ST)+ST = X . A protective put ana ficiary call prothe same result. 中文解析在T时刻，标的资产价格ST 执行价格K，在此时call option是没有价值的，为0.（因为T时刻是到期日，call的时间价值为0，而ST K使得它的intrinsic value 也是0），所以此时C+K = 0+K=K；另外一方面，在T时刻，put option的价值=K-ST（因为此时put的时间价值也为0，intrinsic value=K-ST），所以此时P+ST = K - ST + ST = K；所以C+K = P + S仍然成立。标的资产价格小于执行价格，执行起来更受损失，因此投资者会倾向于call而非put，那么call与put 为什么是一样的

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问一道题：NO.PZ2018062007000082

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