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Cooljas · 2023年01月06日

老师可以具体画下 call和put最后如何变成下图payoff的吗?

NO.PZ2020021203000088

问题如下:

A range forward contract involves buying a call and selling a put where the strike price of the call is greater than that of the put and the maturities of the two are the same. Sketch the payoff from the contract.

选项:

解释:

The payoff of a range forward contract is of the form:

Note that when the strike prices are identical, a range forward contract will be equivalent to a regular forward contract.



1 个答案

DD仔_品职助教 · 2023年01月07日

嗨,努力学习的PZer你好:


同学你好,

具体请看下图:

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努力的时光都是限量版,加油!

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