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LOS i: Illustrate how put-call parity for options on forwards (or futures) is established.
Q1. At time = 0, for a put option at exercise price (X) on a newly issued forward contact at FT (the forward price at time = 0), a portfolio with equal value could be constructed from being long in:
A) the underlying asset, long a put at X, and short in a pure-discount risk-free bond that pays X – FT at option expiration.
B) a risk-free pure-discount bond that pays FT – X at option expiration and long in a put at X.
C) a call at X and long in a pure-discount risk-free bond that pays X – FT at option expiration.
Q2. Put-call parity for options on forward contracts at the initiation of the option where the forward price at that time (time=0) is FT, can best be expressed as:
A) c0 + (X ? FT) / (1 + R)T = p0.
B) c0 + X / (1 + R)T ? FT = p0.
C) c0 ? (X ? FT) / (1 + R)T = p0.
Q3. Which of the following would have the same value at t = 0 as an at-the-money call option on a forward contract priced at FT (the forward price at time = 0)?
A) A put option, long the underlying asset, and short a risk-free bond that pays X-FT at option expiration.
B) A put option, long the underlying asset, and short a risk-free bond that matures at X at option expiration.
C) A put option on the forward at exercise price (X). | 
发表于 2009-3-28 17:39
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