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anyewumian · 2021年03月20日

老师能够详细解释一下这道题吗

NO.PZ2016082402000033

问题如下:

Consider a bearish option strategy of buying one $50 strike put for $7, selling two $42 strike puts for $4 each, and buying one $37 put for $2. All options have the same maturity. Calculate the final profit per share of the strategy if the underlying is trading at $33 at expiration.

选项:

A.

$1 per share

B.

$2 per share

C.

$3 per share

D.

$4 per share

解释:

ANSWER: B

Because the final price is below the lowest of the three strike prices, all the puts will be exercised. The final payoff is ($50-$33)-2($42-$33)+($37-$33) =$17- $18 +$4 = $3. From this, we have to deduct the up-front cost, which is-$7+2($4)-$2=-$1. The total profit is then, ignoring the time value of money, $3-$1=$2 per share.

老师能够详细解释一下这道题吗

1 个答案

袁园_品职助教 · 2021年03月21日

同学你好!

我看这道题已经有老师回复你了,我就不重复了;如果还有不明白的地方,欢迎继续提问,加油~