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kevinzhu · 2020年03月12日

问一道题:NO.PZ2018062007000081

问题如下:

Holding an asset and buying a put on that asset is equivalent to:

选项:

A.

initiating a fiduciary call.

B.

buying a risk- free zero- coupon bond and selling a call option.

C.

selling a risk- free zero- coupon bond and buying a call option.

解释:

A is correct. Under put–call parity, initiating a fiduciary call (buying a call option on an asset that expires at time T together with a risk- free zero- coupon bond that also expires at time T) is equivalent to holding the same asset and initiating a protective put on it (buying a put option with an exercise price of X that can be used to sell the asset for X at time T).
Reading

请解释这道题目

1 个答案

xiaowan_品职助教 · 2020年03月13日

嗨,从没放弃的小努力你好:


同学你好,这道题考察的是put-call parity的应用

我们看等式右边就是holding an asset and buying a put,所以与之相等的就是等式左边的部分,等式左边的部分刚好就是fiduciary call


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