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小王爱学习 · 2022年03月17日

max profit 为什么不是7

  1. FRM I
  2. Financial Markets And Products

NO.PZ2016082402000031

问题如下：

An investor sells a June 2008 call of ABC Limited with a strike price of USD 45 for USD 3 and buys a June 2008 call of ABC Limited with a strike price of USD 40 for USD 5. What is the name of this strategy and the maximum profit and loss the investor could incur?

选项：

A.

Bear spread, maximum loss USD 2, maximum profit USD 3

B.

Bull spread, maximum loss unlimited, maximum profit USD 3

C.

Bear spread, maximum loss USD 2, maximum profit unlimited

D.

Bull spread, maximum loss USD 2, maximum profit USD 3

解释：

ANSWER: D

This position is graphed in Figure below. It benefits from an increase in the price between 40 and 45, so is a bull spread. The worst loss occurs below K1K_1 = 40, when none of the options is exercised and the net lost premium is 5−3=25-3=2. The maximum profit occurs above K2=45K_2=45, when the two options are exercised, for a net profit of $5 minus the lost premium, which gives $3.


XH-XL+CH-CL = bull spread max Profit

45-40+5-3 = 7


老师，这题不该这么算吗？

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1 个答案

李坏_品职助教 · 2022年03月17日

嗨，努力学习的PZer你好：


这个组合其实就是先买入一个40行权价的call，再卖出一个45行权价的call。从图形可以看出，股票价格大于45就是max profit。


假设股价是45，那么：

第一个40的call获利是5块钱，扣掉期权费5块钱，净利润为0.

第二个45块钱的call，行权获利0块钱，期权费收入是3块钱，所以净利润是0+3=3块钱。


二者相加，最大利润3块钱

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