Potatowpn · 2020年09月14日
问题如下：
Provide an alternative decomposition of the chooser option to that given in the chapter so that it is a call maturing at time T1 plus a put maturing at time T2 .
选项：
解释：
With the notation in the text we can write max(c, p) = p + max(c - p, 0) = p + max(S - PV(K), 0)
This shows that the chooser option is a portfolio consisting of:
• A put option maturing at time T2, and
• A call option with strike price PV(K) maturing at time T1.
请问第一步Max（C,P)怎么退出来的？
NO.PZ2020021203000117 问题如下 Provi alternative composition of the chooser option to thgiven in the chapter so thit is a call maturing time T1 plus a put maturing time T2 . With the notation in the text we cwrite max(p) = p + max(c - p, 0) = p + max(S - PV(K), 0)This shows ththe chooser option is a portfolio consisting of:• A put option maturing time T2, an A call option with strike priPV(K) maturing time T1. max(p) = c + max(p - 0) = c + max(PV(K)- S, 0)This shows ththe chooser option is a portfolio consisting of:• A call option maturing time T2, an A put option with strike priPV(K) maturing time T1.
NO.PZ2020021203000117 问题如下 Provi alternative composition of the chooser option to thgiven in the chapter so thit is a call maturing time T1 plus a put maturing time T2 . With the notation in the text we cwrite max(p) = p + max(c - p, 0) = p + max(S - PV(K), 0)This shows ththe chooser option is a portfolio consisting of:• A put option maturing time T2, an A call option with strike priPV(K) maturing time T1. 这个题不太会，请问max(c,p)这个等式是怎么推出来的啊，然后在chooser option里面，call和put的到期日是不同的吗
老师好，答案中的等式看不懂
