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任会会 · 2020年04月26日

问一道题：NO.PZ2020021203000086 [ FRM I ]

  1. FRM I
  2. Financial Markets And Products

问题如下：

What options positions are necessary to build a short position in a box spread?

解释：

Suppose K2 < K1 , A long box spread is created by buying a call with strike price K1 , selling a call with strike price K2, buying a put with strike price K2, and selling a put with strike price K1. A short box spread is therefore created by selling a call with strike price K1 , buying a call with strike price K2, selling a put with strike price K2, and buying a put with strike price K1 . All options have the same time to maturity.

long box是 long bull call+long bear put对吗？

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1 个答案

小刘_品职助教 · 2020年04月27日

同学你好，理解正确哈~

ヾ(◍°∇°◍)ﾉﾞ

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NO.PZ2020021203000086 问题如下 Whoptions positions are necessary to buila short position in a box sprea Suppose K2 K1 , A long box spreis createbuying a call with strike priK1 , selling a call with strike priK2, buying a put with strike priK2, anselling a put with strike priK1. A short box spreis therefore createselling a call with strike priK1 , buying a call with strike priK2, selling a put with strike priK2, anbuying a put with strike priK1 . All options have the same time to maturity. 老师好，麻烦一下题目及答案。另外讲义上的各类策略是否都按照long的头寸写的？好像完全没提头寸的问题，对于构建box sprea本质用于套利，前提是有套利机会，那么short box sprea目的又是啥？

2024-07-29 01:13 1 · 回答

NO.PZ2020021203000086 根据讲义强化班P57，long box= bull call spre+ beput sprebull call sprea long X低 call + short X高 call beput spre= long X高put + short X低 put 答案中刚好把long box和short box头寸说反了。

2021-07-02 11:14 1 · 回答

这题难道不是k2大于k1吗？

2020-10-14 23:57 1 · 回答