NO.PZ2023041003000034
问题如下：
Messer explains, “Of
course, with the index moving down 10% in the last twelve months, the payoffs
with these options could have been replicated without using options.” Szillat
responds, “My understanding is that the payoff would have been the same as the
call option if you had purchased 0.5697 index units and lent EUR 356.79 at the
1-year interest rate.”
With respect to
his assessment of replicating the option payoff, Szillat is least likely
correct about:
选项：
A.lending EUR 356.79.
using the one-year interest rate.
purchasing 0.5697 index units.
解释：
Szillat is incorrect in his method of replicating the
call option. It can be replicated by purchasing the amount of the underlying
shares designated by the hedge ratio and then borrowing (not lending) an amount
equal to the present value of ((hedge ratio × S–) + c–).
老师，我计算了一下borrow的具体金额，帮看下为什么两种计算方式不一样呢
第一种：PV(h × S- - c-) = (0.5697 * 648 - 0) / 1.03 = 358.41
第二种：PV(h × S+ - c+) = (0.5697 * 828-78) / 1.03 = 382.24
请问哪里出错了呢？
