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Lucy · 2020年03月17日

问一道题:NO.PZ2020021203000115 [ FRM I ]

问题如下:

Derive expressions for the payoffs from a:

a.Long position in an average price call and short position in an average price put

b.A long position in an average strike call and short position in an average strike put, and

c.A long position in a plain vanilla European call and short position in a plain vanilla European put.

d.All options have the same strike price and time to maturity. Use the results to derive a relationship between the prices of the six options you have considered.

解释:

A long average price call gives a payoff of max( Save - K, 0). A short average price put gives a payoff of -max( K - Save ,0). The payoff in (a) is therefore always Save - K whether Save > K or Save <=K. Similarly, the payoff in (b) is always ST - Save and the payoff in (c) is always ST - K. From this, it follows that:

( c1 - p1) + ( c2- p2) = ( c - p)

where c1 and p1 are the prices of the average price call and put, c2 and p2 are the prices of the average strike call and put, and c and p are the prices of the plain vanilla call and put.

请问最后c-p的等式是如何推倒出来的,按照字母含义不应该是c1-c2+p1-p2吗
2 个答案
已采纳答案

小刘_品职助教 · 2020年03月18日

同学你好,

(a)中最后的payoff 是Save-K  用c1、p1表示的关系是c1 - p1

(b)中最后的payoff 是ST-Save 用c2、p2表示的关系是c2 - p2

(c)中最后的payoff 是ST-K 用c、p表示的关系是c - p

所以(a)、(b)、(c)payoff的关系是 (a)+(b)=(c)

参照上式关系就是应该是( c1 - p1) + ( c2- p2) = ( c - p)

Lucy · 2020年03月25日

明白了,感谢老师

小刘_品职助教 · 2020年03月25日

同学你好,不客气哟,祝你顺利通过考试:-) 

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2023-05-13 17:48 1 · 回答

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2020-04-12 22:58 1 · 回答

请问这道题对应什么考点

2020-04-12 22:51 1 · 回答