B错误的原因是因为不知道6个月后价格到底是上涨还是下跌是么，所以才不确定

问题如下：

Assume that Biomian shares rise over the next six months. Which of the following statements about VFO's derivative strategies under this scenario is most accurate?

选项：

A.A forward sale of Biomian shares in six months would be more profitable than purchasing the right to sell Biomian shares in six months. B.Purchasing the right to sell Biomian shares in six months would be more profitable than a forward sale of Biomian shares in six months. C.We do not have enough information to determine whether a forward sale or the right to sell Biomian shares will be more profitable in six months.

解释：

Solution

C is correct.

Under a forward sale of Biomian shares, the profit is [F₀(T) – S_T]. If the shares rise significantly over the next six months—that is, S_T > F₀(T)—then VFO's loss on the derivative is the difference between the Biomian forward price, F₀(T), and the spot price, S_T. Under the long put option on Biomian shares, VFO's profit is max(0, X – S_T) – p₀. If Biomian shares rise significantly over the next six months (i.e., S_T > X), then the option expires worthless and VFO's loss is limited to the put premium paid, p₀. If [F₀(T) – S_T] > –p₀, then VFO's loss would be greater under the firm commitment than under the contingent claim.

中文解析：

本小题中涉及两种衍生品的使用，分别是short forward和long put，即选项中提到的“forward sale”和“purchasing the right to sell Biomian shares”。

对于short forward来说，其profit = F₀(T)-S_T；对于long put来说，profit = max(0, X – S_T) – p_0。

现在题干说股价涨了，那么如果上涨后的股价S_T高于了F₀(T)，那么short forward的损失就是二者的差值，损失的绝对值为 –(F₀(T)-S_T）；

对于long put来说，如果股价涨的高于了执行价格X，那么long put不会行权，损失的只是一开始购买该期权支出的期权费，损失的绝对值为p₀。

只有当–(F₀(T)-S_T）高于p₀时，才会说明short forward的损失更高，反之则说明long put 的损失更高。

根据现在的信息无法确定两种衍生品策略哪一个损失更大，因此选C。