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ruby5ltc · 2022年05月27日

请问

NO.PZ2018062007000051

问题如下:

Which of the following statements best describes put-call-forward parity?

选项:

A.

A fiduciary call is equivalent to a protective put with a forward contract.

B.

A fiduciary call is equivalent to a protective put.

C.

A fiduciary call is equivalent to the combination of short put plus long risk-free bond and long a forward contract.

解释:

A is correct.

According to put-call-forward partiy, a fiduciary call is equivalent to a protective put with a forward contract.

中文解析:

C+K=P+S,fiduciary call=protective put

long asset+short forward=long risk free bond (购买有风险的资产同时short forward可以转移风险,获得无风险收益)

那么long asset=long risk free bond +long forward, risk free bond的面值为FP,将
long asset=long bond+long forward

代入 protective put,即P+S=long put+long bond( 面值为FP)+long forward,等式右边也称为protective put with forward

我们可以发现无论期末股票价格如何变化, fiduciary call与protective put with forward的结果是相同的。

既然期末的outcome是相同的,所以期初构建两个portfolio的成本也应该相同。

fiduciary call的成本=C0+K/(1+rf)^T,而

protective put with forward的成本为P0+FP/(1+rf)^T( long forward期初不支付现金,所以没有成本)

这样就能得到put call parity with forward的公式了,即

C0+K/(1+rf)^T=P0+FP/(1+rf)^T

代入 protective put,即P+S=long put+long bond( 面值为FP)+long forward,等式右边也称为protective put with forward,

请问protective put 难道不是long asset+long put吗?

2 个答案

Lucky_品职助教 · 2022年08月21日

嗨,努力学习的PZer你好:


应该是long put , C选项说的是short put,所以不对哦

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Lucky_品职助教 · 2022年05月27日

嗨,爱思考的PZer你好:


protective put是P+S,没错。本题考查的是protective put with forward parity哦

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

ruby5ltc · 2022年08月20日

请问C选项为什么错?

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