题目
A risk manager is analyzing the option prices for a non-dividend-paying stock. How would the risk manager create a synthetic long European call option position on this stock using an appropriate zero-coupon risk-free bond and options having the same exercise price and exercise date?
选项
A.Buy a European put on the stock, buy the stock, and sell a zero-coupon risk-free bond.
B.Buy a European put on the stock, sell the stock, and buy a zero-coupon risk-free bond.
C.Sell a European put on the stock, buy the stock, and sell a zero-coupon risk-free bond.
D.Sell a European put on the stock, sell the stock, and buy a zero-coupon risk-free bond.
答案
A
解析
The solution is as follows:「huixue_img/importSubject/1564169527388934144.jpeg」 根据买卖权平价公式：c＋PV(K)=p＋S，得c=p＋S-PV(K)，所以A选项正确。