NO.PZ202212300200005201
问题如下：
If HMM enters into
the collar recommended by Osborne, and the market value of QQQQ is $33 when the
options expire, the change in the profit of the collar would be closest to:
选项：
A.$94,500
$85,500
$90,000
解释：
Correct Answer: B
The
profit per collar = ST + max(0,X1 – ST) –
max(0,ST – X2) – S0 – (p0 – c0),
where:
S0, ST = price of underlying at time 0 and
time T
X1 = exercise price of put
X2= exercise price of call
p0 = price of put at time 0
c0 = price of call at time 0
Profit = 33 + 0 –
0 – 30 – 0.15 = 2.85
Total profit = $2.85 × 30,000 = $85,500
A is incorrect
because the net premium was added rather than subtracted.
C is incorrect
because it ignores the initial cost of the options.
这个题不是问的change？我理解不是直接算最后的profit啊，应该算price从30变到33，profit的改变的是多少？
