NO.PZ2021061002000043
问题如下：
Which of the following
statements is incorrect?
选项：
A.protective put with
forward= long put + long forward +long risk-free bond
protective put with a forward
contract= fiduciary call
long stock = long forward +
long put
解释：
C is correct
题干问的是哪一项是不正确的，只有C选项错误。
本题考察的是put-call-forward
parity，它的推导逻辑如下：
因为 long stock + short
forward 可以合成一个无风险头寸，即long stock + short forward=Long
risk-free bond (注意这里的bond面值为远期合约价格 FP）
将该等式变形可得： long stock=long
forward + long risk-free bond，
又因为protective put with
asset= long put + long stock，将long stock用上面的公式代替，可得：
protective put with
forward= long put +long forward +long risk-free bond
我们发现无论期末股票价格如何变化，protective
put with forward的payoff与fiduciary
call是一样的。具体演示过程如下：
rt
