NO.PZ2018113001000039
问题如下:
A portfolio manager wants to use collar strategy to manage concentrated stock potions. The manager has 400,000 shares, currently selling at $20. Put strike price is $18.5 and call strike price is $21.5. If at expiration, the stock price is $21.2, the value per share of the strategy is:
选项:
A.$21.2
B.$21.5
C.18.5
解释:
A is correct.
考点:collar
解析:
这一题问的是value,是不考虑期初构建成本的,即不考虑S0,也不考虑期权费。
到期时股票价格=21.2,此时put和call option均不执行,头寸价值即等于股票价格=21.2
这道题的value是不是在18.5和21.5之间,和图像对应的y轴范围一样?