NO.PZ2021061002000045
问题如下:
Which of the following
statements about put–call–forward parity is incorrect?
选项:
A.Put–call–forward parity is
based on the assumption that arbitrage is impossible in the spot, forward and
options markets.
It is required to long a
forward contract and a risk- free bond with the face value of F0 (T)
The cost of the fiduciary call may not
equal the cost of the synthetic protective put,
解释:
C is correct
本题需要选出表述错误的选项,只有C是错误的,因为fiduciary call的成本= synthetic protective put的成本。
Put–call–forward parity基于在现货、远期和期权市场内不可能进行套利的假设。A 表述是正确的,不能选。
synthetic protective put要求long put,long forward,long risk-free bond,其中bond的面值为F0 (T)。B表述正确,不能选。
如题