首页 | 学习中心 | 注册 登录
返回列表 发帖
1215

UID
152243 
帖子
3978 
主题
858 
注册时间
2009-12-15 
最后登录
2011-4-15 
1# 跳转到 » 倒序看帖
打印
tT
发表于 2011-3-25 11:52 | 只看该作者

Reading 62: Option Markets and Contracts-LOS a 习题精选

center, investor, interpret, 2011, class
Session 17: Derivative Investments: Options, Swaps, and Interest Rate and Credit Derivatives
Reading 62: Option Markets and Contracts

LOS a: Calculate and interpret the prices of a synthetic call option, synthetic put option, synthetic bond, and synthetic underlying stock, and infer why an investor would want to create such instruments.

 

 

Referring to put-call parity, which one of the following alternatives would allow you to create a synthetic riskless pure-discount bond?

A)
 Buy a European put option; sell the same stock; sell a European call option.
B)
 Sell a European put option; sell the same stock; buy a European call option.
C)
 Buy a European put option; buy the same stock; sell a European call option.

 

According to put-call parity we can write a riskless pure-discount bond position as:
X/(1+Rf)T = P0 + S0 – C0.

We can then read off the right-hand side of the equation to create a synthetic position in the riskless pure-discount bond. We would need to buy the European put, buy the same underlying stock, and sell the European call.

收藏 分享

1215

UID
152243 
帖子
3978 
主题
858 
注册时间
2009-12-15 
最后登录
2011-4-15 
2#
发表于 2011-3-25 11:53 | 只看该作者

Referring to put-call parity, which one of the following alternatives would allow you to create a synthetic European call option?

A)
 Buy the stock; buy a European put option on the same stock with the same exercise price and the same maturity; short an amount equal to the present value of the exercise price worth of a pure-discount riskless bond.
B)
 Buy the stock; sell a European put option on the same stock with the same exercise price and the same maturity; short an amount equal to the present value of the exercise price worth of a pure-discount riskless bond.
C)
 Sell the stock; buy a European put option on the same stock with the same exercise price and the same maturity; invest an amount equal to the present value of the exercise price in a pure-discount riskless bond.

According to put-call parity we can write a European call as: C0 = P0 + S0 – X/(1+Rf)T

We can then read off the right-hand side of the equation to create a synthetic position in the call. We would need to buy the European put, buy the stock, and short or issue a riskless pure-discount bond equal in value to the present value of the exercise price.

TOP

1215

UID
152243 
帖子
3978 
主题
858 
注册时间
2009-12-15 
最后登录
2011-4-15 
3#
发表于 2011-3-25 11:54 | 只看该作者

Referring to put-call parity, which one of the following alternatives would allow you to create a synthetic stock position?

A)
 Sell a European call option; buy a European put option; short the present value of the exercise price worth of a riskless pure-discount bond.
B)
 Buy a European call option; short a European put option; invest the present value of the exercise price in a riskless pure-discount bond.
C)
 Buy a European call option; buy a European put option; invest the present value of the exercise price in a riskless pure-discount bond.

According to put-call parity we can write a stock position as: S0 = C0 – P0 + X/(1+Rf)T

We can then read off the right-hand side of the equation to create a synthetic position in the stock. We would need to buy the European call, sell the European put, and invest the present value of the exercise price in a riskless pure-discount bond.

TOP

返回列表