不明白为什么要adding the present value of USD 5 to the portfolio

NO.PZ2020021203000095

问题如下：

Suppose that put options on an asset with strike prices USD 30 and USD 35 and the same time to maturity cost USD 4 and USD 7 (respectively). How can these options be used to create (a) a bear spread and (b) a bull spread?

选项：

解释：

(a) A bear spread is created by buying the put option with a strike price of USD 35 and selling the put option with a strike price of USD 30. (b) A bull spread is created by buying the put option with a strike price of USD 30, selling the put option with a strike price of USD 35, and adding the present value of USD 5 to the portfolio.

不明白为什么要adding the present value of USD 5 to the portfolio，讲义视频里貌似没讲?

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1 个答案

pzqa39 · 2024年11月12日

嗨，爱思考的PZer你好：

最后半句其实是在比较用 put option 做这个 bull spread 比用 call option 做这个 bull spread 省了 5块钱。

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