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御神木🍒 · 2022年05月24日

请问一下老师,我觉得最多会带来3的收益呀 根据bull put 的图

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问题如下:

Suppose that put options on an asset with strike prices USD 30 and USD 35 and the same time to maturity cost USD 4 and USD 7 (respectively). How can these options be used to create (a) a bear spread and (b) a bull spread?

选项:

解释:

(a) A bear spread is created by buying the put option with a strike price of USD 35 and selling the put option with a strike price of USD 30. (b) A bull spread is created by buying the put option with a strike price of USD 30, selling the put option with a strike price of USD 35, and adding the present value of USD 5 to the portfolio.

请问一下老师,我觉得最多会带来3的收益呀 根据bull put 的图

1 个答案

李坏_品职助教 · 2022年05月24日

嗨,从没放弃的小努力你好:


对,最终收益最多只能是3,但是这个题目答案说的意思不是最终收益,而是:如果用这两个put option来构造Bull spread,为了能够和call option bull spread相匹配,需要增加5usd到投资组合里。这个题目有点超纲,没有太大实际意义,它是原版书的题:


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