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Avalon · 2023年07月01日

Long Put 损失为多少,麻烦老师

* 问题详情,请 查看题干

NO.PZ202208260100000701

问题如下:

VFO is considering the purchase of the put option to hedge against a decline in Biomian's share price. Which of the following statements best characterizes the trade-off between the put and the forward based on no-arbitrage pricing?

选项:

A.The gain on the forward sale will equal the purchased put option's profit at maturity provided the put option ends up in the money at maturity.

B.The loss on the forward sale will exceed the loss on the purchased put at maturity if Biomian's share price exceeds the forward price by more than the initial put premium paid.

C.We do not have enough information to answer this question, since we do not know the time value of the option at maturity.

解释:

Solution

B is correct.

The loss on the forward sale will be greater than the loss on the purchased put at maturity if Biomian's share price exceeds the forward price by more than the initial put premium. VFO's downside return is limited to the put premium paid, while the forward sale has unlimited downside as Biomian shares appreciate. A is incorrect as it does not take the put premium paid into account, while C is incorrect as the time value of an option is equal to zero at maturity.

中文解析

VFO本身持有股票头寸,为了对冲股价下跌的风险,VFO想到了short forwardlong putshort call三种方法。

本小题中比较的是short forwardlong put两种方法。

Short forward在合约到期的时候的收益为F0(T)-ST

Long putprofitmax{0X-ST}-p0.

其中F0(T)=X

当到期时候ST高于F0(T)时,那么:F0(T)-ST

瘦肉汤 forward的损失为:- p0

Long put的损失为:

且如果ST高于F0(T)的部分超过了p0的时候,意味着short forward的损失是更高的,B选项对。

答案解析好像没写完这题

1 个答案

Lucky_品职助教 · 2023年07月02日

嗨,爱思考的PZer你好:


为了对冲股价下跌的风险,题干中提到了short forward,long put,short call三种方法。本小题中比较的是short forward和long put两种方法。

Short forward在合约到期的时候的收益为F0(T)-ST。其中F0(T)=X。

Long put的profit为max{0,X-ST}-p0.

A选项:如果到期ST

C选项:如果到期ST>X,那么Short forward在合约到期的时候的损失为F0(T)-ST的绝对值。Long put的损失为-p0的绝对值。如果F0(T)-ST绝对值金额大于P0,则说明short forward的损失大于long put,这句话是正确的。

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