NO.PZ2018113001000040
问题如下:
A portfolio manager wants to construct a protective put strategy. Suppose the stock is currently selling at $25.1, the premium of 23 put is $1.8. The maximum loss of this strategy is:
选项:
A.2.1
B.1.8
C.3.9
解释:
C is correct.
考点:protective put
解析:
定性来说,最大损失就是期初的期权费+put不能保护的部分,即1.8+(25.1-23)=3.9
也可以列公式进行计算,protective put=long stock + long put
Profit=ST-S0+MAX(0,X-ST)-P0
当ST
负号代表亏损。
这里面不是st>x吗,怎么会这么计算,难道最大的loss不只是premium吗