NO.PZ2018113001000051
问题如下:
Andrea, a junior analyst, works in the derivatives research division of an international securities firm. Andrea’s supervisor, Alice, asks him to conduct an analysis of various option trading strategies relating to shares of PZ co..
Andrea considers constructing a synthetic long call position in PZ. Implementing the strategy would require him to :
选项:
A.short shares of PZ.
B.long a put option on PZ.
C.short a call option on PZ.
解释:
B is correct.
To construct a synthetic long call position, Andrea would buy a put option on PZ. Of course, he would also need to long PZ shares to complete the synthetic long call position.
中文解析:
根据C + K = P +S
如果要合成一个long call 需要long put 和 long stock(上述公式中的K相当于一个无风险利率债券,不需要考虑)。
因此对于put option应该long,对于 stock 头寸,应该long。综合来看只有B选项正确,当然如果要表述完整的话,B选项还应该加上long stock 头寸。
谢谢