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Katherine · 2024年02月23日

这题

NO.PZ2023052407000012

问题如下:

A stock currently trades at USD25. In one year, it will either increase in value to USD35 or decrease to USD15. An investor sells a call option on the stock, granting the buyer the right, but not the obligation, to buy the stock at USD25 in one year. At the same time, the investor buys 0.5 units of the stock. Which of the following statements about the value of the investor’s portfolio at the end of one year is correct?

选项:

A.

The portfolio has a value of USD7.50 in both scenarios

B.

The portfolio has a value of USD25 in both scenarios

C.

The portfolio has a value of USD17.50 if the stock goes up and USD7.50 if the stock goes down.

解释:

A is correct. Regardless of whether the stock increases or decreases in price, the investor’s portfolio has a value of USD7.50 as follows:

If stock price goes to USD35, value = 0.5×35 – 10 = 7.50.

If stock price goes to USD15, value = 0.5×15 – 0 = 7.50.

If the stock price rises to USD35, the sold call option at USD25 has a value to the buyer of USD10, offsetting the rise in the stock price.

sell call option 的话应该是股价跌了赚钱吧,卖看涨,对吧,如果未来价格涨了,肯定就不行权了啊,市场价格比卖的还要高,我理解就是不行权,那么现在题目给了h=0.5,价格涨到35的时候,v就是只有股票了吧,也就是35*0.5,期权因为没有行权所以后面是0,我的理解是这个样子,请问是哪里出了问题了吗

1 个答案

品职助教_七七 · 2024年02月25日

嗨,爱思考的PZer你好:


股票价格上涨超过执行价格后,持有call option的一方会选择行权。

由于分析是站在sell option的角度,所以持有call的一方(buy call的一方)行权之后,sell call的一方需要支付C0给buy call的一方。sell call的一方亏损。V=h*s-C0。


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