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。
为啥复制一个call等于long stock?