关于Mock下午卷第93题 face, equivalent, fiduciary, position, likely

felix010604

93. A description least likely to explain put-call parity is:

A. A fiduciary call option strategy and a protective put option strategy for an
underlying asset are equal in value.

B. A put is equivalent to a long call, a long position in the underlying asset, and a
long position in the risk-free asset.

C. A call is equivalent to a long put, a long position in the underlying asset, and a
short position in the risk-free asset.

Answer: C
The put requires a short position in the underlying rather than a long position.

 

我选的是B，答案是C。但我怎么看都觉得答案的解释是印证了B选项。

 

有没有哪位大虾帮忙看看？

BStranger

a put should be long call, short underlying asset and a long position in rf...

the answer is right

try drawing it in a pay-off diagram and u'll get it...

jysavior

老兄，我的答案明明是B啊，你再下载试试看

felix010604

啊？不是吧。。。。

joynobel

我对put-call parity的记法是，只要把另外三项移到等式另一边，正号就是long，负号就是short

比如：c=p+S-X/(1+r)^t 就是long call等于long put, long underlying asset, short risk-free asset

wheresky

是c notes里有公式

Joejo9

旁友，我答案上是B

 

93. A description least likely to explain put-call parity is:
A. A fiduciary call option strategy and a protective put option strategy for an underlying asset are equal in value.
B. A put is equivalent to a long call, a long position in the underlying asset, and a long position in the risk-free asset.
C. A call is equivalent to a long put, a long position in the underlying asset, and a short position in the risk-free asset.
Answer: B

 

“Option Markets and Contracts”, Don M. Chance
2009 Modular Level I, Volume 6, pp. 106-110
Study Session 17-70-j Explain put-call parity for European options, and relate put-call parity to arbitrage and the construction of synthetic options. The put requires a short position in the underlying rather than a long position.

waseda90

 答案是B，这道题我记得很清楚