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摇一摇 · 2023年08月22日

为什么选C啊

  1. CFA I
  2. Derivative

NO.PZ2023040401000097

问题如下：

According to put-call parity, if a fiduciary call expires in the money, the payoff is most likely equal to the:

选项：

A.

face value of the risk-free bond.

B.

difference between the market value of the asset and the face value of the risk-free bond.

C.

market value of the asset

解释：

A fiduciary call, defined as a long position in a call and in a risk-free bond, generates a payoff that is equal to the market value of the asset if it expires in the money

fiduciary call=protective put，那为什么选C啊

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Lucky_品职助教 · 2023年08月23日

嗨，从没放弃的小努力你好：


fiduciary call expires in the money，就是右侧的情形，收益都是ST

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努力的时光都是限量版，加油！

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