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张思琪05883 · 2022年05月20日

这题不是很理解

NO.PZ2016082402000026

问题如下:

According to put-call parity, buying a put option on a stock is equivalent to

选项:

A.

Buying a call option and buying the stock with funds borrowed at the risk-free rate

B.

Selling a call option and buying the stock with funds borrowed at the risk-free rate

C.

Buying a call option, selling the stock, and investing the proceeds at the risk-free rate

D.

Selling a call option, selling the stock, and investing the proceeds at the risk-free rate

解释:

ANSWER: C

Buying a put creates a gain if the stock price falls, which is similar to selling the stock on the downside. On the upside, the loss is capped by buying a call.

这题不是很理解??????

1 个答案

DD仔_品职助教 · 2022年05月21日

嗨,爱思考的PZer你好:


根据买卖权平价:CK=PS

P=C+K-S

正负号代表long或者short,那么long Put 就等同于 long call,long K,short S

其中long K表示的是投资一个无风险利率的资产,short S代表卖股票。

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