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mayduke · 2022年05月05日

两边的cost

  1. CFA I
  2. Derivative

NO.PZ2021061002000045

问题如下：

Which of the following statements about put–call–forward parity is incorrect?

选项：

A.

Put–call–forward parity is based on the assumption that arbitrage is impossible in the spot, forward and options markets.

B.

It is required to long a forward contract and a risk- free bond with the face value of F0 (T)

C.

The cost of the fiduciary call may not equal the cost of the synthetic protective put,

解释：

C is correct

本题需要选出表述错误的选项，只有C是错误的，因为fiduciary call的成本= synthetic protective put的成本。

Put–call–forward parity基于在现货、远期和期权市场内不可能进行套利的假设。A 表述是正确的，不能选。

synthetic protective put要求long put，long forward，long risk-free bond，其中bond的面值为F0 (T)。B表述正确，不能选。

两边的cost相等这件事怎么理解？cost具体指什么，有公式吗？

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1 个答案

Lucky_品职助教 · 2022年05月07日

嗨，从没放弃的小努力你好：


下面是原版书对这部分的描述，可以阅读一下加深理解~

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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