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hyi725 · 2023年08月13日

breakeven

NO.PZ2018113001000014

问题如下:

A portfolio manager wants to construct a bull spread using call options. An exercise price of $50 is priced at $8 and exercise price of $60 is priced at $2. Both the calls expire in one month and have the same underlying, which is currently trading at $55. the breakeven underlying price is:

选项:

A.

56

B.

60

C.

54

解释:

A is correct.

考点:bull spread

解析:

用call构建bull spread(上涨时赚钱),应该买入执行价格较低的call option来赚钱,同时short执行价格较高的call option来cover成本,用公式表达即:

l[max(0,STXL)CL][max(0,STXH)CH]=[max(0,ST50)8][max(0,ST60)2]{l}\lbrack\max(0,S_T-X_L)-C_L\rbrack-\lbrack\max(0,S_T-X_H)-C_H\rbrack\\=\lbrack\max(0,S_T-50)-8\rbrack-\lbrack\max(0,S_T-60)-2\rbrack

根据图形,当50T<60时,有breakeven price此时收益=0.

此时(ST-50)-8-(0-2)=0,可求ST=56

/哪种option strategy算breakeven的时候需要用到spot price呢

我记得题目里也遇到过

1 个答案

pzqa31 · 2023年08月14日

嗨,从没放弃的小努力你好:


option里面一般没有spot price,基本都是股价。

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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!

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相关问题

NO.PZ2018113001000014问题如下A portfolio manager wants to construa bull spreusing call options. exercise priof $50 is price$8 anexercise priof $60 is price$2. Both the calls expire in one month anhave the same unrlying, whiis currently trang $55. the breakeven unrlying priis: A.56 B.60 C.54 A is correct.考点bull sprea析用call构建bull sprea上涨时赚钱),应该买入执行价格较低的call option来赚钱,同时short执行价格较高的call option来cover成本,用公式表达即l[max⁡(0,ST−XL)−CL]−[max⁡(0,ST−XH)−CH]=[max⁡(0,ST−50)−8]−[max⁡(0,ST−60)−2]{l}\lbrack\max(0,S_T-X_L)-C_L\rbrack-\lbrack\max(0,S_T-X_H)-C_H\rbrack\\=\lbrack\max(0,S_T-50)-8\rbrack-\lbrack\max(0,S_T-60)-2\rbrackl[max(0,ST​−XL​)−CL​]−[max(0,ST​−XH​)−CH​]=[max(0,ST​−50)−8]−[max(0,ST​−60)−2]根据图形,当50 ST 60时,有breakeven price此时收益=0.此时(ST-50)-8-(0-2)=0,可求ST=56为什么再计算profit 的时候不包括unrlying的价格变化啊?之有call的部分covereall 和protectiveput 就包括?

2022-04-04 01:34 2 · 回答

NO.PZ2018113001000014 60 54 A is correct. 考点bull spre解析 用call构建bull sprea上涨时赚钱),应该买入执行价格较低的call option来赚钱,同时short执行价格较高的call option来cover成本,用公式表达即 l[max⁡(0,ST−XL)−CL]−[max⁡(0,ST−XH)−CH]=[max⁡(0,ST−50)−8]−[max⁡(0,ST−60)−2]{l}\lbrack\max(0,S_T-X_L)-C_L\rbrack-\lbrack\max(0,S_T-X_H)-C_H\rbrack\\=\lbrack\max(0,S_T-50)-8\rbrack-\lbrack\max(0,S_T-60)-2\rbrackl[max(0,ST​−XL​)−CL​]−[max(0,ST​−XH​)−CH​]=[max(0,ST​−50)−8]−[max(0,ST​−60)−2] 根据图形,当50<ST<60时,有breakeven price此时收益=0. 此时(ST-50)-8-(0-2)=0,可求ST=56题目做对了,请问current price=55有啥用?

2021-07-27 21:13 1 · 回答