Which option combination most closely si...

题目

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

选项

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

答案

C

解析

Payoff of the long put =max[0,K-S(t)] and payoff of short call =-max[0,S(t)-K]=min[K-S(t)], such that the combination payoff =K-S(t). In regard to D, please note: Profit = the payoff-initial investment [net premium] Sometime also profit = payoff - FV(initial investment)在使用构造组合的方法合成期货空头头寸时（建议直接画图），应使用payoff，而不是profit（由于期权费的存在，合成的效果不理想）。