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SkipperLin · 2020年08月31日

问一道题:NO.PZ2020021203000078

问题如下:

Use the results in Chapter 9 to determine put-call parity for a currency options on the GBP/USD exchange rate. Express your answer in terms of the USD risk-free rate, RUSD, the GBP risk-free rate, RGBP, and the time to maturity, T.

选项:

解释:

with equation F=S(1+RUSD)(1+RGBP)F=S\frac{(1+R_{USD})}{(1+R_{GBP})}

Substituting this into Equation Price + PV(K) = European Put Price + PV(F) and noting that:

PV(K)=K(1+RUSD)TPV(K)=\frac K{{(1+R_{USD})}^T}

PV(F)=S(1+RUSD)T(1+RGBP)T1(1+RUSD)T=S(1+RGBP)TPV(F)=S\frac{{(1+R_{USD})}^T}{{(1+R_{GBP})}^T}\frac1{{(1+R_{USD})}^T}=\frac S{{(1+R_{GBP})}^T}

European Call Price + K(1+RUSD)T\frac K{{(1+R_{USD})}^T} = European Put Price + S(1+RGBP)T\frac S{{(1+R_{GBP})}^T}

请问为什么PV(F)要乘以(1+R_usd)^T分之一呢?

4 个答案
已采纳答案

小刘_品职助教 · 2020年09月02日

同学你好,

如图所示哈,这题关键可能还是要看懂汇率报价的方式,在折现的时候选择对应的利率折现。

小刘_品职助教 · 2020年09月07日

同学你好, 是的。

小刘_品职助教 · 2020年09月03日

同学你好,

如果FRM的 FP GBP/USD 这样表达 按照frm现在的讲义我是画反了  o(╯□╰)o

小刘_品职助教 · 2020年08月31日

同学你好,

这道题建议你用李老师的画图大法算一下呢,折现过来是要用到(1+R_usd)^T的,这是一个折现的过程。

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NO.PZ2020021203000078问题如下 Use the results in Chapter 9 to termine put-call parity for a currenoptions on the GBP/USexchange rate. Express your answer in terms of the USrisk-free rate, RUS the Grisk-free rate, RGBP, anthe time to maturity, T. with equation F=S(1+RUS(1+RGBP)F=S\frac{(1+R_{US)}{(1+R_{GBP})}F=S(1+RGBP​)(1+RUS)​ Substituting this into Equation Pri+ PV(K) = EuropePut Pri+ PV(F) annoting that:PV(K)=K(1+RUSTPV(K)=\frK{{(1+R_{US)}^T}PV(K)=(1+RUS)TK​PV(F)=S(1+RUST(1+RGBP)T1(1+RUST=S(1+RGBP)TPV(F)=S\frac{{(1+R_{US)}^T}{{(1+R_{GBP})}^T}\frac1{{(1+R_{US)}^T}=\frS{{(1+R_{GBP})}^T}PV(F)=S(1+RGBP​)T(1+RUS)T​(1+RUS)T1​=(1+RGBP​)TS​EuropeCall Pri+ K(1+RUST\frK{{(1+R_{US)}^T}(1+RUS)TK​ = EuropePut Pri+ S(1+RGBP)T\frS{{(1+R_{GBP})}^T}(1+RGBP​)TS​ 这是哪块的知识点。。。。

2023-03-09 11:03 1 · 回答

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2023-02-22 10:01 1 · 回答

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2023-02-22 09:55 1 · 回答

这道题标的物是不是GBP,如果是的话,K的折现为什么不用GBP

2020-10-18 22:12 1 · 回答