黑夜Silver · 2023年05月13日

这道题新的解析是不是也有问题呀？

1. FRM I
2. Financial Markets And Products

NO.PZ2020021203000098

问题如下：

A call option with a strike price of USD 40 costs USD 2 and a put option with a strike price of USD 30 costs USD 3. Both have the same time to maturity. Explain how a strangle can be created using these options, and construct a table showing the profit as a function of the asset price at option maturity.

解释：

St >40 的时候call那栏写的是st-40，应该跟最后一项一致是st-45吧，st-40没有把call和put的成本算进去。