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2020-10-07 15:24long underlying asset為什么是S(股票)? 第五題: C ＋ K = P ＋ S, 到底K和S指的什么? S,我的理解應該是股票價格(=spot price),是forward price折現(xiàn)求和,這個理解對吧? K,我的理解是債券價格折現(xiàn)求和,為什么是執(zhí)行價格exercise price.
所屬：CFA Level I > Derivatives 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
Evian, CFA助教
2020-10-09 11:57
該回答已被題主采納
└(^o^)┘你好同學，
C+K=A fiduciary call
A fiduciary call is a portfolio consisting of:
A long position in a European call option with an exercise price of X that maturities in T years on a stock. 在公式中對應“C”
A long position in a pure-discount riskless bond that pays X in T years. 在公式中對應“K”
P+S=A protective put
A protective put is a portfolio consisting of：
A long position in a European put option with an exercise price of X that maturities in T years on a stock. 在公式中對應“P”
A long position in the underlying stock.在公式中對應“S”
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