题目
A long position in a put option can be synthetically produced by:
选项
A.Long position in the underlying and a short position in a call.
B.Short position in the underlying and a long position in a call.
C.Long position in the underlying and a long position in a put.
D.Short position in the underlying and a short position in a put.
答案
B
解析
A long put option has intrinsic value when the price of the underlying asset goes down. The payoff of a long put option is the same as the payoff of a short position in the underlying and a long position in the call. This synthetic alternative has value when the price of the underlying asset goes down. When the price of the underlying asset goes up, the call buyer will exercise and the call seller will need to liquidate the long position in the asset.这道题实际问的是使用构造组合的方法去构造买入看跌期权的头寸（通常不考虑成本），只需要将期权的执行价格与标的资产的盈亏平衡点设为一样，然后在画图就简单很多了。