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

kevinzhu · 2020年08月16日

问一道题:NO.PZ2016031201000051 [ CFA I ]

问题如下:

Combining a protective put with a forward contract generates equivalent outcomes at expiration to those of a:

选项:

A.

fiduciary call.

B.

long call combined with a short asset.

C.

forward contract combined with a risk-free bond.

解释:

A is correct.

Put−call forward parity demonstrates that the outcome of a protective put with a forward contract (long put, long risk-free bond, long forward contract) equals the outcome of a fiduciary call (long call, long risk-free bond). The outcome of a protective put with a forward contract is also equal to the outcome of a protective put with asset (long put, long asset).

p+s=c+k 这道题目有其他干扰项,请解释

1 个答案

xiaowan_品职助教 · 2020年08月17日

嗨,从没放弃的小努力你好:


同学你好,

这道题考察的是put-call-forward parity,等式两侧就是protective put with forward和fiduciary call,建议同学回顾一下基础班Put–Call–Forward Parity这个视频老师的讲解。


-------------------------------
努力的时光都是限量版,加油!


  • 1

    回答
  • 0

    关注
  • 1268

    浏览
相关问题

NO.PZ2016031201000051 问题如下 Combining a protective put with a forwarcontragenerates equivalent outcomes expiration to those of A.ficiary call. B.long call combinewith a short asset. C.forwarcontracombinewith a risk-free bon A is correct.中文解析本题考察的是put-call-forwarparity,它的推导逻辑如下因为 long stock+short forwar可以合成一个无风险头寸,即Long risk-free bon注意这里的bon值为远期合约价格,即FP)将该等式变形可得 long stock=long forwarlong risk-free bon所以long put+long stock中的stock可以用上面的公式替代,可得systhetic proctive put = long put+long forwar+long risk-free bon我们发现无论期末股票价格如何变化,systhetic proctive put的payoff与ficiary call是一样的。具体过程如下图这里再强调一遍,systhetic proctive put中的bon值为FP,而ficiary call中的bon值为X。 protective put 是put + spotprotective put with a forwarcontra为什么就将spot转成了forwar+ rf而不是put + spot + forward

2023-02-02 21:29 1 · 回答

NO.PZ2016031201000051问题如下Combining a protective put with a forwarcontragenerates equivalent outcomes expiration to those of a: A.ficiary call. B.long call combinewith a short asset. C.forwarcontracombinewith a risk-free bon A is correct.Put−call forwarparity monstrates ththe outcome of a protective put with a forwarcontra(long put, long risk-free bon long forwarcontract) equals the outcome of a ficiary call (long call, long risk-free bon. The outcome of a protective put with a forwarcontrais also equto the outcome of a protective put with asset (long put, long asset). 中文解析本题考察的是put-call-forwarparity,它的推导逻辑如下因为 long stock+short forwar可以合成一个无风险头寸,即Long risk-free bon注意这里的bon值为远期合约价格,即FP)将该等式变形可得 long stock=long forwarlong risk-free bon所以proctive put with asset= long put+long stock中的stock可以用上面粗体的公式替代,可得protective put with forwar long put+long forwar+long risk-free bon我们发现无论期末股票价格如何变化,protective put with forwarpayoff与ficiary call是一样的。具体过程如下图这里再强调一遍,protective put with forwar的bon值为FP,而ficiary call中的bon值为X。 put call forwarparity不应该是C+K=P+FORWARBON,题干只说了forwarput,不应该还少了一个bon

2022-03-20 00:06 1 · 回答

请老师给一下protective put 和 ficiary call,对这两个概念还是不懂

2018-11-13 19:50 1 · 回答

    1.protective put with a forwarcontract 应该怎么理解?protective put 不是stock加上 put 吗?   with a forwarcontract 那就再long 个  forwarcontract 应该是long put,long stock 和long forwarcontract怎么stock 变成  risk-free bon 2.本题的另一个回答提到long put+long forwar long call 这怎么理解?     

2018-05-07 21:51 1 · 回答