NO.PZ2021061002000069
问题如下：
An asset manager owns non-dividend-paying
stock in XYZ Corporation, currently priced (S0) at $50 a share. The
asset manager is considering selling shares at a forward price (F0(T))
of $54 per share in six months at a risk-free rate of 2%.
Now consider buying a put option or selling
a call option with an exercise price (X) equal to the forward price (F0(T))
as an alternative to a forward stock sale.
Based on the above information, answer the question:
When comparing the long put and short call
strategies, which of the following is most correct about how the value of a put
and call is affected by changes in factors?
选项：
A.Changes in the time to expiration and the
risk-free rate have a similar directional effect on the put and call
strategies, while changes in the exercise price tend to have the opposite
effect.
Changes in the risk-free rate have a
similar directional effect on the put and call strategies, while changes in the
exercise price and the time to expiration tend to have the opposite effect.
Changes in the time to expiration tend to
have a similar directional effect on the put and call strategies, while changes
in the exercise price and the risk-free rate tend to have the opposite effect.
解释：
中文解析
本题考察的是影响期权价值的因素。
选项中涉及的到期时间、执行价格、无风险利率对看涨和看跌期权价值的影响，参考下表：
long put 和short call 不用考虑对冲策略和方向吗，我的第一反应是画图，看long远期合约，用那种对冲的期权策略。后来看画图都蒙蒙的。才发现不是用画图解决。
