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陈Shelly · 2020年07月14日

问一道题：NO.PZ2018113001000054

  1. CFA III
  2. Derivative

问题如下：

Lee, a junior analyst, works in the derivatives research division of an international securities firm. Lee’s supervisor, John, asks him to conduct an analysis of various option trading strategies relating to shares of W&M co..

Lee considers constructing a synthetic long forward position on W&MZ's stock. Implementing the strategy would require him to :

选项：

A.

long call on W&M.

B.

long put on W&M.

C.short stock of W&M.

解释：

A is correct.

To construct a synthetic long forward position, Lee would buy a call option on W&M. Of course, he would also need to short a put option with identical strike price and expiration to complete the synthetic long forward position.

synthetic long forward position是 C+K=P+S公式里的K不是吗？

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1 个答案

xiaowan_品职助教 · 2020年07月14日

嗨，从没放弃的小努力你好：


同学你好，

synthetic forward position对应的知识点截图讲义内容贴在下方

根据的是由最基础的put call parity 衍生出的 put call forward parity变换得来的，Forward的价格是由原公式中S变换来的，而K可以看作是债券或现金。


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