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月之流离 · 2020年02月14日

问一道题：NO.PZ2018062007000082

  1. CFA I
  2. Derivative

问题如下：

If an underlying asset’s price is less than a related option’s strike price at expiration, a protective put position on that asset versus a fiduciary call position has a value that is:

选项：

A.

lower.

B.

the same.

C.

higher.

解释：

B is correct. On the one hand, buying a call option on an asset and a risk- free bond with the same maturity is known as a fiduciary call. If the fiduciary call expires in the money (meaning that the value of the call, ST – X, is greater than the risk- free bond’s price at expiration, X), then the total value of the fiduciary call is (ST – X) + X, or ST. On the other hand, holding an underlying asset, ST, and buying a put on that asset is known as a protective put. If the put expires out of the money, meaning that the value of the asset, ST, is greater than the put’s value at expiration, 0, then the total value of the protective put is ST – 0, or ST. A protective put and a fiduciary call produce the same result.

不懂，什么意思哦

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1 个答案

xiaowan_品职助教 · 2020年02月15日

同学你好，这道题目中涉及到两个组合，组合一是protective put，组合方式long一份执行价格为X的put option，到期时间为T，再持有一份标的资产，该资产在T时刻的价值为ST，那么根据题目要求，T时刻ST

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