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Viva · 2020年09月28日

问一道题:NO.PZ2017121101000014

问题如下:

Aline Nuñes, a junior analyst, works in the derivatives research division of an international securities firm. Nuñes’s supervisor, Cátia Pereira, asks her to conduct an analysis of various option trading strategies relating to shares of three companies: IZD, QWY, and XDF. On 1 February, Nuñes gathers selected option premium data on the companies, presented in Exhibit 1.

Nuñes considers the following option strategies relating to IZD:

Strategy 1: Constructing a synthetic long put position in IZD

Strategy 2: Buying 100 shares of IZD and writing the April €95.00 strike call option on IZD

Strategy 3: Implementing a covered call position in IZD using the April €97.50 strike option

Strategy 1 would require Nuñes to buy:

选项:

A.

shares of IZD.

B.

a put option on IZD.

C.

a call option on IZD.

解释:

C is correct.

To construct a synthetic long put position, Nuñes would buy a call option on IZD. Of course, she would also need to sell (short) IZD shares to complete the synthetic long put position.

B选项为什么不对

1 个答案

xiaowan_品职助教 · 2020年09月28日

嗨,爱思考的PZer你好:


同学你好,

这里是要一个synthetic long put option,也就是一个组合,可以模拟put option的payoff特征,如果直接long put就不符合要求了。


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