NO.PZ2022123002000051
问题如下：
Lehigh notes the holding of Mountain Hawk common stock. The shares
were recently donated by an alumnus who mandated that they not be sold for
three years. Lehigh provides three potential options strategies to use in order
to benefit from changes in Mountain Hawk’s stock price, which is presently USD
100.00. Options strategies are provided in Exhibit 3:
Exhibit 3 Options Strategies for Mountain Hawk stock (in USD)
If
the price of Mountain Hawk stock declines to USD 88.00, which options strategy
will most likely have the highest value at expiration?
选项：
A.Straddle
Bull
spread
Bear
spread
解释：
Correct Answer: C
C is correct.
Strategy 3 will have a value of USD10. A put bear spread entails buying the put
with the higher exercise price (USD100) and selling the put with the lower
exercise price (USD90).
Value at
expiration = max(0, 100 – 88) – max(0, 90 – 88) = 10
请问老师
A staddle 在到期日value是 7
B bull spread是 0
对吗？谢谢
