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Zwwei · 2020年11月24日

问一道题:NO.PZ2018113001000054

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.

为什么long stock不可以?

1 个答案
已采纳答案

xiaowan_品职助教 · 2020年11月25日

嗨,努力学习的PZer你好:


同学你好,

这道题考察的是synthetic forward,我们学习过:

synthetic long forward position =  long call and short put

这道题的选项期时也并不完整,只是说了一部分,即long call。

C选项long stock不对是因为long forward只需要部分保证金,而long stock需要全资买入。


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努力的时光都是限量版,加油!


Zwwei · 2020年11月25日

我记错了。应该是long forward=buy call+short put

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NO.PZ2018113001000054 问题如下 Lee, a junior analyst, works in the rivatives researvision of internationsecurities firm. Lee’s supervisor, John, asks him to conanalysis of various option trang strategies relating to shares of W M co.. Lee consirs constructing a synthetic long forwarposition on W MZ's stock. Implementing the strategy woulrequire him to : A.long call on W M. B.long put on W M. C.short stoof W M. A is correct.To construa synthetic long forwarposition, Lee woulbuy a call option on W M. Of course, he woulalso neeto short a put option with inticstrike prianexpiration to complete the synthetic long forwarposition. 中文解析本题考察的是用期权合成一个forwar寸。合成一个long forwar头寸,需要long call同时short一个相同执行价格和到期日的put。 仅仅从考试角度可不可以这么理解呢?另外该知识点的考点除了公式变化还有什么呢?

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