由买买提看人间百态

boards

本页内容为未名空间相应帖子的节选和存档,一周内的贴子最多显示50字,超过一周显示500字 访问原贴
Quant版 - 小弟问2个Put-Call Parity的简单问题
相关主题
问两道简单的关于期权价格的面试题发现了一个literature里面谁都没发现的效应
Interview questions[合集] Here comes a real put-call parity problem.
vol smile题纽约行记(3) --- Credit-suisse的考试
一个call和put的strike一样,他们的vol那个大?请教一个关于arbitrage的题目?
Can option price predict future关于BS
Interview question - Binary option[合集] 关于nondividend理想情况的AmCall和EuCall Value的问题
一道面试题 call option 定价请问另一个问题(rachelwxm 或者miamiawu请进)
[合集] Call/Put的Gamma和Vega是在S=K时取到最大值吗?一天就花面试上了。。。
相关话题的讨论汇总
话题: put话题: call话题: sell话题: long话题: parity
进入Quant版参与讨论
1 (共1页)
g****y
发帖数: 4
1
有2个练习题我想不通道理:
1: Using your knowledge of Put-Call parity theorem,what would be the most
appropriate method of eliminating risk in the following position?
Short one future, long one call
(a)Buy call
(b)Sell call
(c)Sell put
(d)sell future.
答案是C,说The exsiting position is a sunthetic long put(这句话我不理解),
therefore, sell a put to hedge the position.
2: An investor is long the underlying asset and owns a put option on the
same asset. Which of the fllowing strategies would eliminate the market risk
of t
g****y
发帖数: 4
2
我只知道
Long call and Short put (Long put and short call) 2个能成为一个synthetic
long (synthetic short) ,如果和实际价格不符合的话 C-P=//S-K 存在套利机会。
但是题目中怎么判断出来是synthetic long call (put)? 还有这种情况下如何对冲?
我只知道如何套利。。。
l******f
发帖数: 568
3
long call short future=max(S-K,0)-(S-K)=max(K-S,0)=long put

【在 g****y 的大作中提到】
: 有2个练习题我想不通道理:
: 1: Using your knowledge of Put-Call parity theorem,what would be the most
: appropriate method of eliminating risk in the following position?
: Short one future, long one call
: (a)Buy call
: (b)Sell call
: (c)Sell put
: (d)sell future.
: 答案是C,说The exsiting position is a sunthetic long put(这句话我不理解),
: therefore, sell a put to hedge the position.

r**u
发帖数: 69
4
put-call parity is really basic and essential
S+P=C+K.
And you can roughly think of futures as spot in this case.
The answers you get are just the variations of the above formula.
1 (共1页)
进入Quant版参与讨论
相关主题
一天就花面试上了。。。Can option price predict future
a simple question, how to hedge digital optionInterview question - Binary option
有谁被trader面试过吗?不是trader职位一道面试题 call option 定价
如何计算人民币兑美元的理论合理汇率?[合集] Call/Put的Gamma和Vega是在S=K时取到最大值吗?
问两道简单的关于期权价格的面试题发现了一个literature里面谁都没发现的效应
Interview questions[合集] Here comes a real put-call parity problem.
vol smile题纽约行记(3) --- Credit-suisse的考试
一个call和put的strike一样,他们的vol那个大?请教一个关于arbitrage的题目?
相关话题的讨论汇总
话题: put话题: call话题: sell话题: long话题: parity