问题如下:
What is the put-call parity relation between the following compound options: call on a call and a put on a call?
解释:
We use the notation in the chapter and assume that the K1, K2, T1, and T2 are the same for both the call on the call and the put on the call. A long position in the call on a call plus the present value of K1 (with discounting from T1 to today) equals a long position in a put on the call plus the value of a European call maturing at time T2 . If c1 is the value at time T1 of a European call maturing at time T2, the result can be seen from:
max(c1 - K1, 0) + K1 = max(K1 - c1, 0)+ c1 = max(c1, K1)
老师,题目没有读懂,可以讲解一下题目及解答吗?