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摇一摇 · 2023年08月22日

为什么选C啊

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

1 个答案
已采纳答案

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!