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RichardGuan · 2020年02月28日

问一道题:NO.PZ201712110100000206

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问题如下:

Based on Exhibit 1, Strategy 5 offers:

选项:

A.

unlimited upside.

B.

a maximum profit of €2.48 per share.

C.

protection against losses if QWY’s share price falls below €28.14.

解释:

B is correct.

Strategy 5 describes a collar, which is a combination of a long position in shares, a long put option, and a short call option. Strategy 5 would require Nuñes to buy 100 QWY shares at the current market price of €28.49 per share. In addition, she would purchase a QWY April €24.00 strike put option contract for €0.35 per share and collect €0.32 per share from writing a QWY April €31.00 strike call option. The collar offers protection against losses on the shares below the put strike price of €24.00 per share, but it also limits upside to the call strike price of €31.00 per share. Thus, the maximum gain on the trade, which occurs at prices of €31.00 per share or higher, is calculated as (X2 – S0) – p0 + c0, or (€31.00 – €28.49) – €0.35 + €0.32 = €2.48 per share.

C选项如果要改成正确的选项,应该是24吗?

1 个答案

xiaowan_品职助教 · 2020年02月28日

嗨,从没放弃的小努力你好:


同学你好,是的,collar的payoff形态类似bull spread,

两个转折点分别是put option 的 strike price (protection against loss)和 call option 的 strike price(limit upside)


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虽然现在很辛苦,但努力过的感觉真的很好,加油!