刘同学2020-01-28 16:23:27
刘同学01.单选题 已收藏 标记 纠错 According to put-call-forward parity, the difference between the price of a put and the price of a call is most likely equal to the difference between: A spot price and exercise price discounted at the risk-free rate. B exercise price and forward price discounted at the risk-free rate. C forward price and spot price discounted at the risk-free rate. 听不清楚
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Danyi2020-01-31 19:10:02
Danyi同学你好，
put-call forward parity 它的公式 ：FP/(1+rf)^T+p=c+X/(1+rf)^T，题目问的是difference between put and call,那就是put-call=p-c, 公式变形一下：p-c=X/(1+rf)^T - FP/(1+rf)^T，也就是选项B的说法
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