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nanaluo · 2021年10月19日

adding an amount of cash equal to the present value of the difference between the strike prices这句怎么理解呢

NO.PZ2020021203000084

问题如下:

Explain two ways a bear spread can be created.

选项:

解释:

A bear spread can be created by buying a put with a certain strike price, K2, and selling a put with a lower strike price, K1 . Both puts have the same time to maturity. It can also be created by buying a call with strike price K2, selling a call with strike price K1 , and adding an amount of cash equal to the present value of the difference between the strike prices.

adding an amount of cash equal to the present value of the difference between the strike prices请问为什么需要加这句呀?

1 个答案
已采纳答案

李坏_品职助教 · 2021年10月20日

嗨,努力学习的PZer你好:


这句话的意思是,为了构造出一个和put option的bear spread完全一致的call option bear spread,需要在两个call option组合的基础上再加上一笔cash。原话是出自原版书:




注意右边的PV1和PV2实际上就是put-call parity里面的PV。

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