2020 Mock B 下午 106题
According to put–call parity, for European options, a long call on an asset is equal to:
- long put + long asset + long risk-free bond.
- long put + long asset + short risk-free bond.
- short put + short asset + long risk-free bond.
Solution
A is correct. The put–call parity relationship states that
Long asset + Long put = Long call + Long risk-free bond.
