NO.PZ202208100100000201
问题如下：
Are the strategies suggested by Dufu for Kadakia most likely correct?
选项：
A.
Yes, both strategies are correct.
B.
No, Strategy 1 is incorrect.
C.
No, Strategy 2 is incorrect.
解释：
Solution
C is correct. Strategy 1 is correct and Strategy 2 is incorrect. Given Kadakia’s expectations, the correct option strategy is a bear spread using calls. The bear spread can be implemented using call options or put options. In either case, it involves the purchase of the higher strike option and the sale of the lower strike option. Kadakia, however, has indicated that she would like to avoid a cash outlay. Given this constraint, the appropriate option strategy is to purchase November 120 call options and sell November 115 call options because doing so will result in an initial cash inflow of $5.40 – $2.70 = $2.70. Using put options would result in an initial cash outflow of $2.37 and a maximum profit of $2.63, which is less than the $2.70 maximum profit for the bear spread using calls. Net $2.63 if the stock falls below 115.
A is incorrect. Strategy 2 is incorrect because using put options would result in an initial cash outflow of $2.37.
B is incorrect. Strategy 1 is correct.
strategy1和2都能获利，题目没说要获利最大化，只是说成本最小，strategy2的成本不是更小？
