NO.PZ202212300200003001
问题如下：
Given the information in Exhibit 1, the minimum cost
of implementing Strategy 1 is closest to:
选项：
A.$12.49
$12.75
$12.86
解释：
Correct Answer: A
A bull call spread
is constructed by buying a lower exercise call and writing a higher exercise
call. A bull spread becomes more valuable when the price of the underlying asset
rises. The minimum cost implementation would typically use options with strike prices
close to the current market price.
Buy $25 strike
call and sell $35 strike call
Net premium for a
bull call spread Vo = cL – cH = $10.30 – $1.45 = $8.85
A bear put spread
is constructed by buying a higher exercise put and writing a lower exercise
put. A bear spread becomes more valuable when the price of the underlying asset
declines. The minimum cost implementation would typically use options with
strike prices close to the current market price.
Buy $35 strike put
and sell $25 strike put
Net premium for a
bull call spread Vo = pH – pL = $5.20 – $1.56 = $3.64
Total cost = $8.85
+ $3.64 = $12.49
Strategy 1 的cost 我会算，但是我不理解strategy 1 里 bull call spread 和 bear put spread 加在一起做的原理是什么？
在Xh 上同时有 long call + short put, Xl 上同时有short call + long put。这是合成了一个strangle的策略嘛？
