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毛线 · 2020年03月17日

问一道题:NO.PZ2018062007000072

问题如下:

Which of the following combinations replicates a long derivative position?

选项:

A.

A short derivative and a long asset

B.

A long asset and a short risk- free bond

C.

A short derivative and a short risk- free bond

解释:

B is correct. A long asset and a short risk- free asset (meaning to borrow at the risk- free rate) can be combined to produce a long derivative position.

A is incorrect because a short derivative and a long asset combine to produce a position equivalent to a long risk- free bond, not a long derivative.

C is incorrect because a short derivative and a short risk- free bond combine to produce a position equivalent to a short asset, not a long derivative.

这是什么意思啊?好懵啊做这部分的题

1 个答案

xiaowan_品职助教 · 2020年03月18日

嗨,爱思考的PZer你好:


同学你好,这道题可以这样想,我们把题干中衍生品具体到某一个产品,例如远期合约,再来分析,

我们long 一个远期合约就等价于是用较少的保证金去买了股票,也就等价于借钱买股票,所以B选项是正确的。

这类概念题确实比较抽象,掌握不同衍生品的特点以及操作原理是很重要的,加油~


-------------------------------
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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