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摩羯大小姐 · 2022年02月18日

不是fiduciary call的面值是X,protective put with forward的面值是FT吗?

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.

B.

It is required to long a forward contract and a risk- free bond with the face value of F0 (T)

C.

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 putlong forwardlong risk-free bond,其中bond的面值为F0 (T)B表述正确,不能选。

如题

2 个答案
已采纳答案

Lucky_品职助教 · 2022年02月19日

嗨,爱思考的PZer你好:


B描述的确实不是很严谨,没明确说明是等式哪一边的,我们只能根据long a forward contract来判断是protective put with forward这一侧的bond,其中bond的面值为F0 (T)。

可以看出同学对此知识点掌握得很牢固了,可以不用纠结本题的选项,考试题目一定会更严谨的~加油!



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努力的时光都是限量版,加油!

Lucky_品职助教 · 2022年02月19日

嗨,爱思考的PZer你好:


同学你说的是对的。请问是对哪个选项有疑惑呢

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加油吧,让我们一起遇见更好的自己!

摩羯大小姐 · 2022年02月19日

所以B的描述是不是错了

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