Y.K · 2022年07月28日

value不应该是0吗，Profit才是-4吧

1. CFA I
2. Derivative

* 问题详情，请 查看题干

NO.PZ201806200700006802

问题如下：

Determine the value at expiration and the profit for a buyer if the price of the underlying at expiration is $48.

选项：

A.

–$4

B.

$0

C.

$2

解释：

A is correct.

CT = Max(0,ST – X) = Max(0,48 – 50) = 0 Π = CT – C0 = 0 – 4 = –4

中文解析:

计算call option的profit

CT = Max(0,ST – X) = Max(0,48 – 50) = 0 Π = CT – C0 = 0 – 4 = –4

如题