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At time = 0, for a put option at exercise price (X) on a newly issued forward contact at FT (the forward price at time = 0), a portfolio with equal value could be constructed from being long in: A. the underlying asset, long a put at X, and short in a pure-discount risk-free bond that pays X – FT at option expiration. B. a call at X and long in a pure-discount risk-free bond that pays X – FT at option expiration. C. a risk-free pure-discount bond that pays FT – X at option expiration and long in a put at X. |