NO.PZ2023040401000072
问题如下：
A European call option and a European put option are written on the same underlying, and both options have the same expiration date and exercise price. At expiration, it is possible that both options will have:
选项：
A.negative values.
the same value.
positive values.
解释：
B is correct. If the underlying has a value equal to the exercise price at expiration, both options will have zero value since they both have the same exercise price. For example, if the exercise price is $25 and at expiration the underlying price is $25, both the call option and the put option will have a value of zero. The value of an option cannot fall below zero. The holder of an option is not obligated to exercise the option; therefore, the options each have a minimum value of zero. If the call has a positive value, the put, by definition, must have a zero value and vice versa. Both cannot have a positive value.
If the underlying has a value equal to the exercise price at expiration......答案只是探讨了当X被准确定价时候call option和put option的value是一样的。但option这种工具之所以有交易意义，绝大多数时候St和X的价格有差异。
Value c = St - max(0, X)；Value p = max(0,X) - St，所以他们的价值应该是相反的呀——即当St＞X的时候，call的value是St - X，put的value是0；当St＜X的时候，call的value是0，put的value是X - St；
