Which of the following is equivalent to a short position in a European put option?
A) A short position in a cash-or-nothing put option plus a long position in an asset-or-nothing put option
B) A long position in an asset-or-nothing put option plus a long position in a cash-or-nothing put option
C) A long position in an asset-or-nothing call option plus a long position in a cash-or-nothing call option
D) A long position in an asset-or-nothing call option plus a short position in a cash-or-nothing call option

Question

Quizplus · Accepted Answer

A short position in a European put is equivalent to a short cash-or-nothing put option (−KN(−d₂)e^-rT)and a long position in an asset-or-nothing put (S₀N(−d₁))

Which of the Following Is Equivalent to a Short Position