各位兄弟姐妹，在option market and constract一章关于European option lower bound的推导，作者构建了一个如下portfolio( in which the option is combined with a long or short position in the stock and a pure discount bond)：
a long at the money european call option with exercise price X, expiring at time t =T.
a long discount bond priced to yield the risk free rate that pays X at option expiration.
a short position in one share of the underlying stock priced at S0=X
the current value of this portfolio is c0- S0+X/(1+RFR)T
我的问题是为什么是减掉那个S0，能不能详细解释一下构建的这个portfolio，尤其是最后那个short position，谢谢大家。 | 
发表于 2010-4-21 15:40
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