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薛真 · 2020年10月18日

问一道题：NO.PZ2020021203000078

  1. FRM I
  2. Financial Markets And Products

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}

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

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1 个答案

袁园_品职助教 · 2020年10月18日

同学你好！

因为用来报价的货币是 USD

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