开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

pengyaning · 2023年10月21日

put call parity

  1. FRM I
  2. Financial Markets And Products

NO.PZ2023091802000121

问题如下：

A 1-year forward contract on a stock with a forward price of USD 100 is available for USD 1.50. The table below lists the prices of some barrier options on the same stock with a maturity of 1 year and strike of USD 100. Assuming a continuously compounded risk-free rate of 5% per year what is the price of a European put option on the stock with a strike of USD 100.

Option Price

Up-and-in barrier call, barrier USD 95 USD 5.21

Up-and-out barrier call, barrier USD 95 USD 1.40

Down-and-in barrier put, barrier USD 80 USD 3.5

选项：

A.

USD 2.00

B.

USD 4.90

C.

USD 5.11

D.

USD 6.61

解释：

The sum of the price of up-and-in barrier call and up-and-out barrier call is the price of an otherwise the same European call. The price of the European call is therefore USD 5.21 + USD 1.40 = USD 6.61. The put-call parity relation gives Call – put = Forward (with same strikes and maturities). Thus 6.61 – put = 1.50. Thus put = 6.61 – 1.50 = 5.11

有远期合约的put call parity不应该是p+pv(f)=c+pv(x)吗，为什么这道题不需要考虑pv(x)？

添加评论
1 个答案

DD仔_品职助教 · 2023年10月22日

嗨，努力学习的PZer你好：


同学你好，

这道题让球的是forward的value，不是call或者put的value

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 0

    关注

  • 238

    浏览
相关问题

NO.PZ2023091802000121问题如下 A 1-yeforwarcontraon a stowith a forwarpriof US100is available for US1.50. The table below lists the prices of some barrieroptions on the same stowith a maturity of 1 yeanstrike of US100.Assuming a continuously compounrisk-free rate of 5% per yewhis thepriof a Europeput option on the stowith a strike of US100. Option PriUp-anin barrier call, barrier US95 US5.21 Up-anout barrier call, barrier US95 US1.40 wn-anin barrier put, barrier US80 US3.5 A.US2.00B.US4.90C.US5.11US6.61 The sum of the priof up-anin barrier call anup-anoutbarrier call is the priof otherwise the same Europecall. The priofthe Europecall is therefore US5.21 + US1.40 = US6.61. The put-callparity relation gives Call – put = Forwar(with same strikes anmaturities).Thus 6.61 – put = 1.50. Thus put = 6.61 – 1.50 = 5.11 老师，1，“A 1-yeforwarcontraon a stowith a forwarpriof US100 is available for US1.50.”这里的100和1.5到底指什么意思，经典题课里说这是forwaroption，如果是forwaroption，也是option啊，为什么它的图像和forwar样？2，barrier us95这是什么价格？3，虽然这道题是same srock，same strik price等等容易误导是用put call parity，但是用put call parity是解不出来的对吗？

2024-10-03 18:27 1 · 回答

NO.PZ2023091802000121 问题如下 A 1-yeforwarcontraon a stowith a forwarpriof US100is available for US1.50. The table below lists the prices of some barrieroptions on the same stowith a maturity of 1 yeanstrike of US100.Assuming a continuously compounrisk-free rate of 5% per yewhis thepriof a Europeput option on the stowith a strike of US100. Option PriUp-anin barrier call, barrier US95 US5.21 Up-anout barrier call, barrier US95 US1.40 wn-anin barrier put, barrier US80 US3.5 A.US2.00 B.US4.90 C.US5.11 US6.61 The sum of the priof up-anin barrier call anup-anoutbarrier call is the priof otherwise the same Europecall. The priofthe Europecall is therefore US5.21 + US1.40 = US6.61. The put-callparity relation gives Call – put = Forwar(with same strikes anmaturities).Thus 6.61 – put = 1.50. Thus put = 6.61 – 1.50 = 5.11 请问如何理解解析中的这句话。为什么两个期权之差就是forwarThe put-call parity relation gives Call – put = Forwar(with same strikes anmaturities).

2023-10-18 16:49 1 · 回答