NO.PZ2022123001000159
问题如下:
A stock currently trades at USD25. In one year, itwill either increase in value to USD35 or decrease to USD15. An investor sellsa call option on the stock, granting the buyer the right, but not theobligation, to buy the stock at USD25 in one year. At the same time, theinvestor buys 0.5 units of the stock. Which of the following statements aboutthe 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 bothscenarios.
B.
The portfolio has a value of USD25 in both scenarios.
C.
The portfolio has a value of USD17.50 if the stockgoes up and USD7.50 if the stock goes down.
解释:
A is correct. Regardlessof whether the stock increases or decreases in price, the investor’s portfoliohas a value of USD7.50 as follows:
If stock price goes toUSD35, value = 0.5×35 – 10 = 7.50.
If stock price goes toUSD15, value = 0.5×15 – 0 = 7.50.
Ifthe stock price rises to USD35, the sold call option at USD25 has a value tothe buyer of USD10, offsetting the rise in the stock price.
题目中10是怎么来的?