NO.PZ2023020101000025
问题如下：
Arnie Burr is CEO and chief investment
officer of Princeton Capital, a registered investment advisory firm. He is
working with Tom Jeffinsin, head trader, and Jim Madisox, a new analyst. They
meet to discuss option valuation methodologies in the context of the firm’s use
of derivatives to manage client portfolios.
Burr begins the discussion by stating that
the Black–Scholes–Merton (BSM) model is a relatively straightforward tool for
valuing options despite its rigorous computational components. Burr writes the
BSM model on the firm’s whiteboard, presented as Exhibit 1.
Exhibit
1: BSM Model for Options on Non-Dividend Paying Stocks
Burr
wants to assess Madisox’s comprehension of the components of the BSM. Madisox states
that a call option can be viewed as a leveraged position in the underlying
stock. To replicate a call option, the appropriate strategy is to purchase N(d1) shares and
simultaneously borrow an amount e–rTXN(–d2).
Madisox’s statement about the BSM model is
least likely correct with respect to:
选项：
A.purchasing
N(d1) shares.
the
leveraged position in a stock.
C.
borrowing
an amount e–rTXN(–d2).
解释：
With respect to a call option, Madisox is
incorrect with respect to his comment to simultaneously borrow an amount e–rTXN(–d2).
To create a leveraged position in a stock, the correct components are to
purchase N(d1) shares by borrowing an amount e–rTXN(d2).
The term e–rTXN(–d2) represents the amount lent when
purchasing a put option.
N(d1) is probability.
不是因该买h shares， 不是买 N(d1) shares。
