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youmima · 2023年08月24日

问题怎么理解?

* 问题详情,请 查看题干

NO.PZ202212300200005201

问题如下:

If HMM enters into the collar recommended by Osborne, and the market value of QQQQ is $33 when the options expire, the change in the profit of the collar would be closest to:

选项:

A.

$94,500

B.

$85,500

C.

$90,000

解释:

Correct Answer: B

The profit per collar = ST + max(0,X1 – ST) – max(0,ST – X2) – S0 – (p0 – c0), where:

S0, ST = price of underlying at time 0 and time T

X1 = exercise price of put

X2= exercise price of call

p0 = price of put at time 0

c0 = price of call at time 0

Profit = 33 + 0 – 0 – 30 – 0.15 = 2.85

Total profit = $2.85 × 30,000 = $85,500

A is incorrect because the net premium was added rather than subtracted.

C is incorrect because it ignores the initial cost of the options.

“the change in the profit of the collar would be closest to:” 这个表述不是对比30块的时候,和最后33块的时候,payoff的差异吗?中间两个option都没有被行使,只有期权费,但是期权费不会变动,所以change不就是股票价格的波动吗?

1 个答案

pzqa31 · 2023年08月24日

嗨,从没放弃的小努力你好:


这是题目表述的问题,其实就是计算价格从30变到33,profit是多少。

在s0=30的时候也谈不上profit,因为那就是初始状态的值,即成本

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虽然现在很辛苦,但努力过的感觉真的很好,加油!