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小王爱学习 · 2022年03月17日

max profit 为什么不是7

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 53=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?

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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努力的时光都是限量版,加油!

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