开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

陈Shelly · 2020年07月14日

问一道题：NO.PZ2018113001000054

  1. CFA III
  2. Derivative

问题如下：

Lee, a junior analyst, works in the derivatives research division of an international securities firm. Lee’s supervisor, John, asks him to conduct an analysis of various option trading strategies relating to shares of W&M co..

Lee considers constructing a synthetic long forward position on W&MZ's stock. Implementing the strategy would require him to :

选项：

A.

long call on W&M.

B.

long put on W&M.

C.short stock of W&M.

解释：

A is correct.

To construct a synthetic long forward position, Lee would buy a call option on W&M. Of course, he would also need to short a put option with identical strike price and expiration to complete the synthetic long forward position.

synthetic long forward position是 C+K=P+S公式里的K不是吗？

添加评论
1 个答案

xiaowan_品职助教 · 2020年07月14日

嗨，从没放弃的小努力你好：


同学你好，

synthetic forward position对应的知识点截图讲义内容贴在下方

根据的是由最基础的put call parity 衍生出的 put call forward parity变换得来的，Forward的价格是由原公式中S变换来的，而K可以看作是债券或现金。


-------------------------------
加油吧，让我们一起遇见更好的自己！


  • 1

    回答

  • 7

    关注

  • 852

    浏览
相关问题

NO.PZ2018113001000054 问题如下 Lee, a junior analyst, works in the rivatives researvision of internationsecurities firm. Lee’s supervisor, John, asks him to conanalysis of various option trang strategies relating to shares of W M co.. Lee consirs constructing a synthetic long forwarposition on W MZ's stock. Implementing the strategy woulrequire him to : A.long call on W M. B.long put on W M. C.short stoof W M. A is correct.To construa synthetic long forwarposition, Lee woulbuy a call option on W M. Of course, he woulalso neeto short a put option with inticstrike prianexpiration to complete the synthetic long forwarposition. 中文解析本题考察的是用期权合成一个forwar寸。合成一个long forwar头寸，需要long call同时short一个相同执行价格和到期日的put。 仅仅从考试角度可不可以这么理解呢？另外该知识点的考点除了公式变化还有什么呢？

2024-06-06 23:21 1 · 回答

NO.PZ2018113001000054 问题如下 Lee, a junior analyst, works in the rivatives researvision of internationsecurities firm. Lee’s supervisor, John, asks him to conanalysis of various option trang strategies relating to shares of W M co.. Lee consirs constructing a synthetic long forwarposition on W MZ's stock. Implementing the strategy woulrequire him to : A.long call on W M. B.long put on W M. C.short stoof W M. A is correct.To construa synthetic long forwarposition, Lee woulbuy a call option on W M. Of course, he woulalso neeto short a put option with inticstrike prianexpiration to complete the synthetic long forwarposition. 中文解析本题考察的是用期权合成一个forwar寸。合成一个long forwar头寸，需要long call同时short一个相同执行价格和到期日的put。 我想问一下，从put call parity 的角度考虑 PS = CK， 根据答案C-P可以复制forwar话，那是不是forwar就相当于是S-K, 文字意义就是借钱买股票？

2024-01-31 17:56 1 · 回答

NO.PZ2018113001000054 long put on W&M. short stoof W&M. A is correct. To construa synthetic long forwarposition, Lee woulbuy a call option on W&M. Of course, he woulalso neeto short a put option with inticstrike prianexpiration to complete the synthetic long forwarposition. 中文解析 本题考察的是用期权合成一个forwar寸。 合成一个long forwar头寸，需要long call同时short一个相同执行价格和到期日的put。 为了合成long soforwor 应该不能单单单 long call 还要 short put 为何a单单 long call也ok答案怪怪的。。。

2022-02-12 17:46 3 · 回答

NO.PZ2018113001000054 short sto+long stock也能搞出个forwar。。。stock和forwar形上就是一回事。。。 这考forwar成 c-p只给个call。。。。。也是没看懂

2021-05-01 10:08 2 · 回答

为什么long stock不可以？

2020-11-24 23:05 1 · 回答