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含笑步步颠💫 · 2021年05月26日

问一道题:NO.PZ2018113001000051 [ CFA III ]

问题如下:

Andrea, a junior analyst, works in the derivatives research division of an international securities firm. Andrea’s supervisor, Alice, asks him to conduct an analysis of various option trading strategies relating to shares of PZ co..

Andrea considers constructing a synthetic long call position in PZ. Implementing the strategy would require him to :

选项:

A.

short shares of PZ.

B.

long a put option on PZ.

C.

short a call option on PZ.

解释:

B is correct.

To construct a synthetic long call position, Andrea would buy a put option on PZ. Of course, he would also need to long PZ shares to complete the synthetic long call position.

这道题是默认持有stock吗?合成long call需要long put option 和 long stock,但选项里只有long put
1 个答案
已采纳答案

Hertz_品职助教 · 2021年05月26日

嗨,努力学习的PZer你好:


同学你好

(1)对的,合成long call需要long put option 和 long stock。

(2)这就是本题考察的一个特点,就是你发现题目并没有long put 和long stock的组合,这时候我们就要换一个思路,合成long put需要①long stock②long put,那么既然没有选项两个都满足,能满足一个的也可以,以这个角度来看,A,C明显错误。

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