NO.PZ2023040401000098
问题如下：
According to put–call–forward parity, the difference between the price of a put and the price of a call is most likely equal to the difference between:
选项：
A.forward price and spot price discounted at the risk-free rate.
spot price and exercise price discounted at the risk-free rate.
exercise price and forward price discounted at the risk-free rate.
解释：
Put-call-forward parity can be written as:
p0 – c0
= [X – F0(T)]/(1 + r)T
This means that the difference between the price of a put and the price of a call is equal to the difference between exercise price and forward price discounted at the risk-free rate.
A is incorrect. Neither put–call parity nor put–call–forward parity support this interpretation.
B is incorrect. Neither put–call parity nor put–call–forward parity support this interpretation.
如果那个discounted at risk free rate是只针对最近的一项那其实B 也是对的，这道题很误导诶
