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Lilly · 2023年08月13日

如下

  1. CFA I
  2. Derivative

NO.PZ2023040401000096

问题如下：

Under put–call–forward parity, which of the following transactions is risk free?

选项：

A.

Short call, long put, long forward contract, long risk-free bond

B.

Long call, short put, long forward contract, short risk-free bond

C.

Long call, long put, short forward contract, short risk-free bond

解释：

A is correct. Purchasing a long forward contract and a risk-free bond creates a synthetic asset. Combining a long synthetic asset, a long put, and a short call is risk free because its payoffs produce a known cash flow of the value of the exercise price.

因为Forward Put-call parity的公式左右都有rf，这题应该如何理解？而且光看题目也没有出现synthetic asset的说明

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2 个答案

Lucky_品职助教 · 2023年08月15日

嗨，爱思考的PZer你好：


目前只有这一道题，用排除法就可以

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

Lucky_品职助教 · 2023年08月15日

嗨，努力学习的PZer你好：


我的理解是k和FP都使用的是risk-free bond，但是这道选择题的正确答案是A，刚好是k，首先c选项是排除掉的，call和put在构建risk-free是不能同时long的，其次put和forward的方向是要一致的，所以B错了

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

Lilly · 2023年08月15日

我也是这么排除着做的，只是我想明确一下在这种情况下rf具体指代的是什么 ，因为其他题目可能会出现无法排除的情况

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