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小小乐百氏 · 2021年10月19日

印象中还有一个covered call这个说法

NO.PZ2018062007000081

问题如下:

Holding an asset and buying a put on that asset is equivalent to:

选项:

A.

initiating a fiduciary call.

B.

buying a risk- free zero- coupon bond and selling a call option.

C.

selling a risk- free zero- coupon bond and buying a call option.

解释:

A is correct. Under put–call parity, initiating a fiduciary call (buying a call option on an asset that expires at time T together with a risk- free zero- coupon bond that also expires at time T) is equivalent to holding the same asset and initiating a protective put on it (buying a put option with an exercise price of X that can be used to sell the asset for X at time T).

中文解析:

这道题考察的是put-call parity的应用

我们看等式右边就是holding an asset and buying a put,等于等式左边的部分,等式左边的部分刚好就是fiduciary call

老师,我记得还有一个covered call这个组合,这种和fiduciary call是一样的吗。我怎么记得covered call是long stock-short call构建的呢?

1 个答案
已采纳答案

lynn_品职助教 · 2021年10月19日

嗨,从没放弃的小努力你好:


两个不同的组合~

fiduciary call = long call + long bond

covered call = short call + long stock



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