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.
选项:
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.
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?