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hjk · 2023年03月13日

请问这题再考什么？

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020011901000080

问题如下：

A trader thinks that the price of a stock currently priced at USD 70 will increase. The trader is trying to choose between buying 100 shares and buying European call options on 1,000 shares. The options cost USD 7 per option and have a strike price of USD 70 with a maturity of six months.

What is the breakeven stock price for which the two strategies give the same result? (Ignore the impact of discounting.)

选项：

解释：

We require

100(ST - 70) = 1,000(ST - 70) - 7,000

or

900ST = 70,000

The breakeven stock price is therefore 70,000/900 or 77.78.

A trader thinks that the price of a stock currently priced at USD 70 will increase. The trader is trying to choose between buying 100 shares and buying European call options on 1,000 shares. The options cost USD 7 per option and have a strike price of USD 70 with a maturity of six months.

What is the breakeven stock price for which the two strategies give the same result? (Ignore the impact of discounting.)

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1 个答案

pzqa27 · 2023年03月13日

嗨，努力学习的PZer你好：


题目说这个人现在有2种选择，第一是买入100个股票。第二是买入option,这个option可以让我们按70元的单价买入1000股，然后题目问我们，股价未来到多少钱的时候，这俩策略的结果一样。那就算一算好了，假设股价涨到X元时2个策略的结果一样

那么第一个策略的profit是（x-70）*100，第二种策略的profit是[max(x-70,0)]*1000-7*1000.然后让这俩等式相同解X即可

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NO.PZ2020011901000080 问题如下 A trar thinks ththe priof a stocurrently priceUS70 will increase. The trar is trying to choose between buying 100 shares anbuying Europecall options on 1,000 shares. The options cost US7 per option anhave a strike priof US70 with a maturity of six months.Whis the breakeven stoprifor whithe two strategies give the same result? (Ignore the impaof scounting.) We require 100(ST - 70) = 1,000(ST - 70) - 7,000or 900ST = 70,000The breakeven stopriis therefore 70,000/900 or 77.78. 22章不是讲的option on 100 shares stock，那不是应该买了10份option？

2023-04-02 14:57 1 · 回答

NO.PZ2020011901000080 请问期权option 1个不是交易100股吗？一个期权是7 US总共1000股，不是应该买10个期权。70US期权费？

2022-02-27 00:43 1 · 回答

buying Europecall options on 1,000 shares 是指买1000份call option,那如果 要表达 “买入标的物是1000shares股票的option” ，英文应该怎么表达 呢？

2020-06-17 12:04 1 · 回答