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Drink H · 2020年02月24日

问一道题:NO.PZ2020021205000056 [ FRM I ]

问题如下:

A stock price is currently 40. At the end of six months it will be either 36 or 44. The risk-free rate is 5% per annum with continuous compounding.there is a six month European put option with a strike price of 40,what position should be taken in the stock to hedge a long position in the option?

解释:

The position is long 0.5 shares. This is because 0.5 shares plus the long put option is worth 22 for both outcomes.

老师你好,我按照李老师的讲法算出来是short 0.5 stock 加一个short 1 put option,和答案刚好相反的?
1 个答案

orange品职答疑助手 · 2020年02月25日

同学你好,因为本题put的方向为正,他是long一个put,所以列出的表达式里,右边等式里应该是+4

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