NO.PZ2018062007000082
问题如下：
If an underlying asset’s price is less than a related option’s strike price at expiration, a protective put position on that asset versus a fiduciary call position has a value that is:
选项：
A. lower.
B. the same.
C. higher.
解释：
B is correct. On the one hand, buying a call option on an asset and a risk- free bond with the same maturity is known as a fiduciary call. If an underlying asset’s price is less than a related option’s strike price at expiration，the total value of the fiduciary call is X. On the other hand, holding an underlying asset, ST, and buying a put on that asset is known as a protective put. the total value of the protective put is（X-ST)+ST = X . A protective put and a fiduciary call produce the same result.
中文解析：
在T时刻，标的资产价格ST<执行价格K，在此时call option是没有价值的，为0.（因为T时刻是到期日，call的时间价值为0，而ST 所以此时C+K = 0+K=K； 另外一方面，在T时刻，put option的价值=K-ST（因为此时put的时间价值也为0，intrinsic value=K-ST），所以此时P+ST = K - ST + ST = K； 所以C+K = P + S仍然成立。
