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. |
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