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Faye · 2021年02月21日

怎么样才算是risk free transaction

  1. CFA I
  2. Derivative

NO.PZ2018062007000085

问题如下：

Under put–call–forward parity, which of the following transactions is risk free?

选项：

A.

Short call, long put, long forward contract, long risk- free bond.

B.

Long call, short put, long forward contract, short risk- free bond.

C.

Long call, long put, short forward contract, short risk- free bond.

解释：

A is correct. Purchasing a long forward contract and a risk- free bond creates a synthetic asset. Combining a long synthetic asset, a long put, and a short call is risk free because its payoffs produce a known cash flow of the value of the exercise price.

等式的一边只剩下long risk free bond就算是risk ftee transction 为什么如果等式的一边只剩下short risk free bond不是risk free transaction呢
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1 个答案

丹丹_品职答疑助手 · 2021年02月21日

嗨，爱思考的PZer你好：



同学你好，需要注意，你对risk-free transaction的理解有问题：risk-free  transaction指的是无风险套利，就是譬如我可以根据put-call  parity进行投资组合，得到一个衍生品，如果这个衍生品的价格和投资组合的构建成本不一致，那么我们就可以不承担任何风险而进行套利。并不引入了无风险资产才是无风险套利。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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