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ruby5ltc · 2022年05月27日

如题

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。

synthetic protective put是否就是protective put with forward?

1 个答案

Lucky_品职助教 · 2022年05月27日

嗨,爱思考的PZer你好:


是的哦

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