d**s
发帖数: 920 | 1 Hi,
People in this group is quite knowledge, so please allow me to throw this
question.
If there are two stocks: A and B, and an index C is created to track the
average of A and B, C = 1/2(A + B).
Assume, A, B, C all have options, then what is the relation of these three
options ? Assume option price for A is a, B is b, C is c, what is the
relation
of a, b, c ?
Is c = a + b ?
Will the relation be different for call, put or other types ?
Thanks in advance.
(Is there any book to cover this topic ? | S***w
发帖数: 1014 | 2 1/2(a+b),
否则就有Arbitrage 机会 |
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