Hazel · 2024年02月20日
NO.PZ2020021203000096
问题如下：
Describe the payoff from a long position in a call with strike price K1 and a long position in a put with strike price K2 where K2 > K1.
解释：
This has the same payoff as a strangle except that there is an extra amount of cash equal to K1 - K2. It is more expensive to set up than a regular strangle where the put has a lower strike price than the call.
可以理解这个是比Regular的贵，但为什么Extra cash是K2-K1呢？
品职答疑小助手雍 · 2024年02月21日
payoff的话，其实举个例子就可以看看了，put的strike是K2， call的strike是K1。
本题的K2大于K1，regular strangle的K2小于K1。
那就假设本题的K2=50，K1=40。regular strangle的K2=40，K1=50。
股价低于40，40-50之间，50以上的payoff我们看一下：
regular strangle的payoff分别是40-X，0，X-50，
本题的payoff分别是50-X，50-X+X-40=10, X-40，分别都比regular strangle高了10，也就是K1-K2的值。
NO.PZ2020021203000096问题如下scrithe payoff from a long position in a call with strike priK1 ana long position in a put with strike priK2 where K2 K1.This hthe same payoff a strangle except ththere is extra amount of cash equto K1 - K2. It is more expensive to set up tha regulstrangle where the put ha lower strike priththe call.这道题是不是说错了？应该买看涨的执行价大于买看跌的执行价啊？按照这题画出的图如下老师您在回答别人问题时画的图
NO.PZ2020021203000096问题如下scrithe payoff from a long position in a call with strike priK1 ana long position in a put with strike priK2 where K2 K1.This hthe same payoff a strangle except ththere is extra amount of cash equto K1 - K2. It is more expensive to set up tha regulstrangle where the put ha lower strike priththe call.payoff怎么不是K2-K1
老师，请问按照这道题构造的strangle长什么样子？可以画一下么？
这题解析如何理解？strangle有两个strike price，不能直接以strike price的大小去比较long call 和long put的价格谁贵谁便宜吧，这题是说类似strangle，但long call和long put正好相反。怎么就能判断这个组合比正常的strangle更贵呢？
