NO.PZ2023040401000099
问题如下:
According to put–call–forward parity, if the put in a protective put with forward contract expires out of the money, the payoff is most likely equal to:
选项:
A.
the market value of the underlying asset.
B.
zero.
C.
the face value of a risk-free bond.
解释:
A protective put with forward contract is defined as a long position in (1) a bond that has the face value equal to the forward contract, (2) a forward contract, and (3) a long position in a put. If the put expires out of the money, the value of the overall position is equal to the market value of the asset.
+ F0(t) (payoff
of bond)
+ ST – F0(t)
(payoff of forward)
+ 0 (payoff of option)
= ST (payoff of strategy)
B is incorrect. Zero is the payoff of the put alone. This ignores the other positions in the strategy.
C is incorrect. The face value of the risk-free bond is the payoff of the protective put with forward contract if the put expires in the money.
call in the money为啥收益不是ST-X?