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Amy_ywh · 2023年11月08日

不是很明白这里synthetic protective put怎么得到的？还是说这就是定义？

  1. CFA I
  2. Derivative

NO.PZ2021061002000045

问题如下：

Which of the following statements about put–call–forward parity is incorrect?

选项：

A.

Put–call–forward parity is based on the assumption that arbitrage is impossible in the spot, forward and options markets.

B.

It is required to long a forward contract and a risk- free bond with the face value of F0 (T)

C.

The cost of the fiduciary call may not equal the cost of the synthetic protective put,

解释：

C is correct

本题需要选出表述错误的选项，只有C是错误的，因为fiduciary call的成本= synthetic protective put的成本。

Put–call–forward parity基于在现货、远期和期权市场内不可能进行套利的假设。A 表述是正确的，不能选。

synthetic protective put要求long put，long forward，long risk-free bond，其中bond的面值为F0 (T)。B表述正确，不能选。

RT

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李坏_品职助教 · 2023年11月08日

嗨，爱思考的PZer你好：


看一下CFA一级衍生品基础班讲义P209-211：下面这个截图给出了synthetic protective put的定义，也就是long a forward + long risk-free bond + long put

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