1.Referring to put-call parity, which one of the following alternatives would allow you to create a synthetic stock position? A) Buy a European call option; buy a European put option; invest the present value of the exercise price in a riskless pure-discount bond. B) 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. C) Buy a European call option; short a European put option; invest the present value of the exercise price in a riskless pure-discount bond. D) Sell a European call option; sell a European put option; invest the present value of the exercise price in a riskless pure-discount bond. The correct answer was C) 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. 2.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; 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. B) 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. C) 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. D) Sell the stock; sell 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. The correct answer was C) 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. 3.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; buy the same stock; sell a European call option. B) Buy a European put option; sell the same stock; sell a European call option. C) Sell a European put option; buy the same stock; buy a European call option. D) Sell a European put option; sell the same stock; buy a European call option. The correct answer was A) 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. | 
发表于 2008-4-22 11:39
|