Potatowpn · 2020年09月14日
问题如下：
Provide an alternative decomposition of the chooser option to that given in the chapter so that it is a call maturing at time T1 plus a put maturing at time T2 .
选项：
解释：
With the notation in the text we can write max(c, p) = p + max(c - p, 0) = p + max(S - PV(K), 0)
This shows that the chooser option is a portfolio consisting of:
• A put option maturing at time T2, and
• A call option with strike price PV(K) maturing at time T1.
请问第一步Max（C,P)怎么退出来的？
NO.PZ2020021203000117 问题如下 Provi alternative composition of the chooser option to thgiven in the chapter so thit is a call maturing time T1 plus a put maturing time T2 . With the notation in the text we cwrite max(p) = p + max(c - p, 0) = p + max(S - PV(K), 0)This shows ththe chooser option is a portfolio consisting of:• A put option maturing time T2, an A call option with strike priPV(K) maturing time T1. 如果用Put call parity转换的话，那答案中的T1等于T2？P和C的执行价格一样？put cll parity 的前提不是具有相同的行使价与到期日么？
NO.PZ2020021203000117 问题如下 Provi alternative composition of the chooser option to thgiven in the chapter so thit is a call maturing time T1 plus a put maturing time T2 . With the notation in the text we cwrite max(p) = p + max(c - p, 0) = p + max(S - PV(K), 0)This shows ththe chooser option is a portfolio consisting of:• A put option maturing time T2, an A call option with strike priPV(K) maturing time T1. max(p) = c + max(p - 0) = c + max(PV(K)- S, 0)This shows ththe chooser option is a portfolio consisting of:• A call option maturing time T2, an A put option with strike priPV(K) maturing time T1.
NO.PZ2020021203000117 问题如下 Provi alternative composition of the chooser option to thgiven in the chapter so thit is a call maturing time T1 plus a put maturing time T2 . With the notation in the text we cwrite max(p) = p + max(c - p, 0) = p + max(S - PV(K), 0)This shows ththe chooser option is a portfolio consisting of:• A put option maturing time T2, an A call option with strike priPV(K) maturing time T1. 这个题不太会，请问max(c,p)这个等式是怎么推出来的啊，然后在chooser option里面，call和put的到期日是不同的吗
老师好，答案中的等式看不懂
