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Pavel Korchagin · 2023年06月30日

请问对于这些影响,short call和long call是一样的吗

NO.PZ2021061002000069

问题如下:

An asset manager owns non-dividend-paying stock in XYZ Corporation, currently priced (S0) at $50 a share. The asset manager is considering selling shares at a forward price (F0(T)) of $54 per share in six months at a risk-free rate of 2%.

Now consider buying a put option or selling a call option with an exercise price (X) equal to the forward price (F0(T)) as an alternative to a forward stock sale.

Based on the above information, answer the question:

When comparing the long put and short call strategies, which of the following is most correct about how the value of a put and call is affected by changes in factors?

选项:

A.

Changes in the time to expiration and the risk-free rate have a similar directional effect on the put and call strategies, while changes in the exercise price tend to have the opposite effect.

B.

Changes in the risk-free rate have a similar directional effect on the put and call strategies, while changes in the exercise price and the time to expiration tend to have the opposite effect.

C.

Changes in the time to expiration tend to have a similar directional effect on the put and call strategies, while changes in the exercise price and the risk-free rate tend to have the opposite effect.

解释:

中文解析

本题考察的是影响期权价值的因素。

选项中涉及的到期时间、执行价格、无风险利率对看涨和看跌期权价值的影响,参考下表:

rt,要怎么理解?

2 个答案

Lucky_品职助教 · 2023年07月02日

嗨,努力学习的PZer你好:


您可以认为这里是默认long方,也可以认为跟long 和short 无关,实际上这里的期权价值对long short双方是一样的,因为您可以把期权当成水果,long就是买水果的人,short就是卖水果的人,这个表讲的是影响水果价格的因素,比如这个volatility,您可以认为call是苹果,put是香蕉,波动率会导致苹果和香蕉的价格都上涨,这个苹果和香蕉价格都涨了对于long方来说需要支付的钱多了,对于卖水果的人来说收到的钱自然也变多了,所以这个图可以认为是long方支付的钱,也可以认为是short方收到的钱。long和short反方向可以理解为是交易的双方,立场是反的,但这个表讲的是影响水果价格的因素,对双方的影响是一致的。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

Lucky_品职助教 · 2023年07月01日

嗨,从没放弃的小努力你好:


表格都是站在Long的角度,short是反方向的

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

Pavel Korchagin · 2023年07月01日

如果是反方向,题目里说的是short call啊,那不应该选C啊

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