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椰子鸡 · 2024年05月07日

spot price and exercise price discounted at the risk-free rate.

  1. CFA I
  2. Derivative

NO.PZ2023040401000098

问题如下：

According to put–call–forward parity, the difference between the price of a put and the price of a call is most likely equal to the difference between:

选项：

A.

forward price and spot price discounted at the risk-free rate.

B.

spot price and exercise price discounted at the risk-free rate.

C.

exercise price and forward price discounted at the risk-free rate.

解释：

Put-call-forward parity can be written as:

p0 – c0 = [X – F0(T)]/(1 + r)T

This means that the difference between the price of a put and the price of a call is equal to the difference between exercise price and forward price discounted at the risk-free rate.

A is incorrect. Neither put–call parity nor put–call–forward parity support this interpretation.

B is incorrect. Neither put–call parity nor put–call–forward parity support this interpretation.

怎么断句啊= =

如果折现的就是后者，那b是对的 啊

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1 个答案

李坏_品职助教 · 2024年05月07日

嗨，从没放弃的小努力你好：


题目问你，put option的价格与call option的价格之间的差，等于什么之间的差值？

公式里的X指的是执行价格exercise price，而F0(T)指的是forward price。


B选项的意思是，p-c等于(S-X) / (1+r)^T，从上面的put call parity公式可以得出，公式里面完全没有提到S（S指的是spot price，也就是基础资产价格），所以B错误。

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