NO.PZ2018062007000082
问题如下:
If an underlying asset’s price is less than a related option’s strike price at expiration, a protective put position on that asset versus a fiduciary call position has a value that is:
选项:
A.lower.
B.the same.
C.higher.
解释:
B is correct. On the one hand, buying a call option on an asset and a risk- free bond with the same maturity is known as a fiduciary call. If an underlying asset’s price is less than a related option’s strike price at expiration,the total value of the fiduciary call is X. On the other hand, holding an underlying asset, ST, and buying a put on that asset is known as a protective put. the total value of the protective put is(X-ST)+ST = X . A protective put and a fiduciary call produce the same result.
中文解析:
在T时刻,标的资产价格ST<执行价格K,在此时call option是没有价值的,为0.(因为T时刻是到期日,call的时间价值为0,而ST 所以此时C+K = 0+K=K; 另外一方面,在T时刻,put option的价值=K-ST(因为此时put的时间价值也为0,intrinsic value=K-ST),所以此时P+ST = K - ST + ST = K; 所以C+K = P + S仍然成立。
【问题1】
C+K=P+S
- C=0,等式左边只剩K
- P=X-ST,等式右边只剩X
K为什么等于X?
【问题2】
执行价格不是用X来表示吗?K是用来表示bond的吧?