NO.PZ2019052801000060
问题如下:
Based on put-call parity, to replicate a call option on X stock, one have to:
选项:
A.long X stock, long put on the stock and long bond.
B.long X stock, long put on the stock and short bond.
C.
short X stock, long call on the stock and short bond.
D.long X stock, short put on the stock and short bond.
解释:
B is correct.
考点:Put-Call Parity.
根据Put-Call Parity : ,复制一个call option等于long stock,long put ,short 一个零息债。B选项正确。
老师好,“根据Put-Call Parity : p+S_0=c+Xe^{-tT}p+S0=c+Xe−tT
就是复制一个call option等于long stock,long put ,short 一个零息债。
想想问上面解释中,long stock=S0,long put=p, short bond =x/e^(T-t)吗?
就是记住的公式,但是做题的时候就忘记了每个字母所代表的意思,谢谢解答~