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TZXคิดถึง · 2020年03月07日

问一道题:NO.PZ2018062007000085

问题如下:

Under put–call–forward parity, which of the following transactions is risk free?

选项:

A.

Short call, long put, long forward contract, long risk- free bond.

B.

Long call, short put, long forward contract, short risk- free bond.

C.

Long call, long put, short forward contract, short risk- free bond.

解释:

A is correct. Purchasing a long forward contract and a risk- free bond creates a synthetic asset. Combining a long synthetic asset, a long put, and a short call is risk free because its payoffs produce a known cash flow of the value of the exercise price.

能解释一下这道题么?没看懂

4 个答案
已采纳答案

xiaowan_品职助教 · 2020年03月07日

嗨,努力学习的PZer你好:


同学你好,这道题考察的是put-call parity的一个变型。

我们知道S是一个不确定的现货价格,那么假设持有S同时short forward contract,就可以得到一个无风险收益,可以等效为一个risk-free bond,也就是S + short forward contract = long risk-free bond,等式两边变换一下可以得到:S = -short forward contract + long risk-free bond = long forward contract + long risk-free bond;

再把这个等式带入到P + S = C + K,得到P + long forward contract + long risk-free bond = C + K,K是无风险债券,

K = P + long forward contract + long risk-free bond - C,这样就构造了一个无风险组合,也就是A选项。


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努力的时光都是限量版,加油!


belgiles · 2020年10月31日

不好意思,请问下为什么是求得公式是K,而不是Risk free Bond???

丹丹_品职答疑助手 · 2021年02月26日

嗨,努力学习的PZer你好:


同学你好,risk free bond也会有债券本身需要面临的风险。

而题干问的是无风险,意味着这些组合应当能获得无风险收益的情况。所以计算的是k

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努力的时光都是限量版,加油!

Faye · 2021年02月21日

完全看不懂题目和所有解答 

xiaowan_品职助教 · 2020年11月01日

嗨,努力学习的PZer你好:


@belgiles,同学你好,

公式里K代指的就是Risk free bond,它这个题考察的就是put-call-forward parity的构成,

同学可以看我下面截图里,就是这个公式左右的各个部分,把这几个部分进行组合就可以得到结论


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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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