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: $1
per share
$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