问一道题：NO.PZ2020011901000078

问题如下：

What is the payoff from a portfolio consisting of a short forward contract with maturity T and a short put option with maturity T? Assume that the strike price for the option is the forward price.

选项：

解释：

The payoff is

$K - S_T - max(K-S_T,0) = -max(0,S_T-)$

To make sure you understand why this is true, you should consider the ST > K and the ST < K cases separately. The payoff is the payoff from a short call option with a strike price equal to the forward price.

后面漏了K了吧

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小刘_品职助教 · 2020年08月01日

同学你好，

是的，感谢你的指正，我们尽快修正～

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NO.PZ2020011901000078 问题如下 Whis the payoff from a portfolio consisting of a short forwarcontrawith maturity T ana short put option with maturity T? Assume ththe strike prifor the option is the forwarprice. The payoff isK−ST−max(K−ST,0)=−max(0,ST−K)K - S_T - max(K-S_T,0) = -max(0,S_T-K)K−ST−max(K−ST,0)=−max(0,ST−K)To make sure you unrstanwhy this is true, you shoulconsir the ST K anthe ST K cases separately. The payoff is the payoff from a short call option with a strike priequto the forwarprice. 问什么不是max(k-st,0)

2023-10-27 23:28 1 · 回答

问一道题：NO.PZ2020011901000078

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