标的物的选取

NO.PZ2023041003000030

问题如下：

Statement #3

“Using put–call parity, you can also create synthetic options on forward contracts. The data in Exhibit 1 can be used to establish the price of such a synthetic put.”

The price of the synthetic put in Statement #3 is closest to:

选项：

$15.48.

$16.33.

$18.00.

解释：

When dealing with forward contracts, as in Burke’s Statement #3, put–call parity must be modified. Rather than shorting the stock, a forward contract is used. The current stock price, S, drops out of the formula and is replaced by the present value of the forward price. That is:

Substituting the values from Exhibit 1:

您好，根据题目标的物为远期合约，那S应该就是远期合约的价格，就是46，那为啥还要折现呢，P=C+K-S

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李坏_品职助教 · 2024年05月10日

嗨，爱思考的PZer你好：

远期价格46指的是：现在有一份远期合约，它在到期日的时候，交割价是46.

也就是46块钱的价格对应的成交时刻是期末。我们需要把46折现到现在，也就是/(1+r)^T。

原来的put call parity，用的是P = C+X/(1+r)^T - S，这个不用折现是因为S用的就是今天现在的股票价格。如果把股票价格S替换为远期价格F，远期价格的成交时刻是期末，所以要折现到今天。

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NO.PZ2023041003000030 问题如下 Statement #3“Using put–call parity,you calso create synthetic options on forwarcontracts. The ta in Exhibit1 cuseto establish the priof sua synthetic put.”The priof thesynthetic put in Statement #3 is closest to: A.$15.48. B.$16.33. C.$18.00. When aling withforwarcontracts, in Burke’s Statement #3, put–call parity must bemofie Rather thshorting the stock, a forwarcontrais use Thecurrent stoprice, S, ops out of the formula anis replacethepresent value of the forwarprice. This: Substituting thevalues from Exhibit 1: 老师，您好！如下图公式中的X应该是指债券的价格吧，为什么是用行权价格55来替换呢？这是call的行权价还是put的行权价？麻烦补充一下，谢谢！

2023-08-16 00:17 1 · 回答

标的物的选取

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