NO.PZ2025040202000002
问题如下:
A trader engages in a strategy that replicates the payoff of a long position in a put option within a single-period binomial framework. At time step 0, the cash flow is:选项:
A.A.negative. B.B.zero. C.C.positive.解释:
A Incorrect because the trading strategy
that will generate the payoff of taking a long position in a put option is to
short sell -h=-(p+-p-)/(S+-S-)
units of the underlying and financing of -PV(-hS-+p-).
Because p+ is less than p-, the hedge ratio is
negative. With h negative, the trade is a short sale, and because -h is
positive, the value -hS results in a positive cash flow at Time Step 0.
Therefore, the cash flow is not negative.
B Incorrect because the trading strategy
that will generate the payoff of taking a long position in a put option is to
short sell the underlying and financing, therefore, the cash flow is not zero.
C Correct because
the trading strategy that will generate the payoff of taking a long position in
a put option is to short sell -h=-(p+-p-)/(S+-S-)
units of the underlying and financing of -PV(-hS-+p-).
Because p+ is less than p-, the hedge ratio is
negative. With h negative, the trade is a short sale, and because -h is
positive, the value -hS results in a positive cash flow at Time Step 0.
老师麻烦解释一下这道题,没有明白题目考查的是什么?