问题 单项选择题

An analyst does research about the put-call parity. With respect to the put-call parity, which of the following positions is equal to a synthetic call position()

A. Long a put, long the underlying, and short a risk-free bond.

B. Short a put, long the underlying, and short a risk-free bond.

C. Long a put, short the underlying, and long a risk-free bond.

答案

参考答案:A

解析:

P+S=C+X/(1+rf)T-t,得出C=P+S-X/(1+rf)T-t

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