题目内容

For a holder of a European option, put–call–forward parity is based on the assumption that:

A. no arbitrage is possible within the spot, forward, and option markets.
B. the value of a European put at expiration is the greater of zero or the underlying value minus the exercise price.
C. the value of a European call at expiration is the greater of zero or the exercise price minus the value of the underlying.

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Under put–call–forward parity, which of the following transactions is risk free?

A. Short call, long put, long forward contract, long risk- free bond
B. Long call, short put, long forward contract, short risk- free bond
C. Long call, long put, short forward contract, short risk- free bond

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The price of a 6-month, USD 25.00 strike price, European-style put option on a stock is USD 3.00. The stock price is USD 26.00. A special one-time dividend of USD 1.00 is expected in 3 months. The continuously compounded risk-free rate for all maturities is 5% per year. Which of the following is closest to the value of a European-style call option on the same underlying stock with a strike price of USD 25.00 and a time to maturity of 6 months?

A. USD 2.37
B. USD 3.01
C. USD 3.63
D. USD 4.62

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Which option combination most closely simulates the economics of a short position in a futures contract?

A. Payoff of a long call plus a short put
B. Profit of a long call plus a short put
C. Payoff of a long put plus short call
D. Profit of long put plus short call

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具有两种触发计数方式,分别为启动和启动。

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For a holder of a European option, put–call–forward parity is based on the assumption that:

Under put–call–forward parity, which of the following transactions is risk free?

Which option combination most closely simulates the economics of a short position in a futures contract?

具有两种触发计数方式,分别为____启动 和____启动。

具有两种触发计数方式,分别为启动和启动。