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Faye · 2021年02月21日

怎么样才算是risk free transaction

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
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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