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迷雾森林 · 2024年06月11日

问题

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?

1 个答案

品职助教_七七 · 2024年06月12日

嗨,从没放弃的小努力你好:


本题为sell call的角度。当股价从25上升到35后,call的buyer会选择行权,即以约定好的25价格买下此时市值已达35的股票。buyer赚10,对手方seller就相应的亏10。

所以当股价上升至35后,无风险组合的价值就为0.5单位价值35的股票,再减去sell call亏的10,即 0.5×35 – 10 = 7.50。

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