NO.PZ2016031201000034
问题如下：
A European call option and a European put option are written on the same underlying, and both options have the same expiration date and exercise price. At expiration, it is possible that both options will have:
选项：
A.negative values.
B.the same value.
C.positive values.
解释：
B is correct.
If the underlying has a value equal to the exercise price at expiration, both options will have zero value since they both have the same exercise price. For example, if the exercise price is $25 and at expiration the underlying price is $25, both the call option and the put option will have a value of zero. The value of an option cannot fall below zero. The holder of an option is not obligated to exercise the option; therefore, the options each have a minimum value of zero. If the call has a positive value, the put, by definition, must have a zero value and vice versa. Both cannot have a positive value.
中文解析：
A选项， Put和call同时有负value。这个首先可以排除，因为option value肯定是大于等于0的。
B选项， value一样
C选项， put call同时有正value
我们知道 put= max[0, X-ST] call=max[0,ST-X] ，X-ST与ST-X是相反的，不可能同时大于0或者小于0。
它们只可能相等，且相等的时候，就是value=0的时候，即ST=X
call option的value为啥是max（0，s-x）不应该是max（0，s-x/(1+rf)^T）吗
