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kevinzhu · 2020年08月16日

问一道题:NO.PZ2016031201000051 [ CFA I ]

问题如下:

Combining a protective put with a forward contract generates equivalent outcomes at expiration to those of a:

选项:

A.

fiduciary call.

B.

long call combined with a short asset.

C.

forward contract combined with a risk-free bond.

解释:

A is correct.

Put−call forward parity demonstrates that the outcome of a protective put with a forward contract (long put, long risk-free bond, long forward contract) equals the outcome of a fiduciary call (long call, long risk-free bond). The outcome of a protective put with a forward contract is also equal to the outcome of a protective put with asset (long put, long asset).

p+s=c+k 这道题目有其他干扰项,请解释

1 个答案

xiaowan_品职助教 · 2020年08月17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-forward parity,等式两侧就是protective put with forward和fiduciary call,建议同学回顾一下基础班Put–Call–Forward Parity这个视频老师的讲解。


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努力的时光都是限量版,加油!


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