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程冠林 · 2024年01月14日

为什么不能用讲义里的p-p-c？

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ202212300200003401

问题如下：

Given the information in Exhibit 1, the minimum cost of implementing a bullish seagull strategy, using strike prices of $490 and $530, is closest to:

选项：

A.

$16.83

B.

$22.47

C.

$23.63

解释：

Correct Answer: A

A bullish seagull strategy involves a bull call spread (debit call spread) and the sale of an OTM put.

The three positions involve:

Buying an in-the-money (ITM) call at strike $490 by paying a premium $23.05

Selling an OTM call at strike $530 by receiving a premium $3.40

Selling an OTM put at strike $490 by receiving a premium $2.82

Cost of bullish seagull strategy is $23.05 – $3.40 – $2.82 = $16.83

1.bullish bearish seagull都需要了解吗？

2.如果用p-p-c，是P(530)-P(490)-C(490)？

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程冠林 · 2024年01月14日

老师不用回答我了，这个问题在有问必答找到合适解释了

1 个答案
已采纳答案

pzqa31 · 2024年01月15日

嗨，爱思考的PZer你好：


好的，如有问题欢迎再来提问。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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NO.PZ202212300200003401 问题如下 Given the information in Exhibit 1, the minimum cost of implementing abullish seagull strategy, using strike prices of $490 an$530, is closest to: A.$16.83 B.$22.47 C.$23.63 CorreAnswer: bullish seagullstrategy involves a bull call spre(bit call sprea anthe sale of OTMput.The three positions involve:Buying in-the-money(ITM) call strike $490 paying a premium $23.05 Selling OTM call atstrike $530 receiving a premium $3.40Selling OTM put atstrike $490 receiving a premium $2.82Cost of bullish seagullstrategy is $23.05 – $3.40 – $2.82 = $16.83 关于 bull seagull 和beseagull

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NO.PZ202212300200003401问题如下 Given the information in Exhibit 1, the minimum cost of implementing abullish seagull strategy, using strike prices of $490 an$530, is closest to: A.$16.83B.$22.47C.$23.63 CorreAnswer: bullish seagullstrategy involves a bull call spre(bit call sprea anthe sale of OTMput.The three positions involve:Buying in-the-money(ITM) call strike $490 paying a premium $23.05 Selling OTM call atstrike $530 receiving a premium $3.40Selling OTM put atstrike $490 receiving a premium $2.82Cost of bullish seagullstrategy is $23.05 – $3.40 – $2.82 = $16.83 题目中从哪可以判断我应该用bull c preashort p，还是bull p spreashort c

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NO.PZ202212300200003401问题如下 Given the information in Exhibit 1, the minimum cost of implementing abullish seagull strategy, using strike prices of $490 an$530, is closest to: A.$16.83B.$22.47C.$23.63 CorreAnswer: bullish seagullstrategy involves a bull call spre(bit call sprea anthe sale of OTMput.The three positions involve:Buying in-the-money(ITM) call strike $490 paying a premium $23.05 Selling OTM call atstrike $530 receiving a premium $3.40Selling OTM put atstrike $490 receiving a premium $2.82Cost of bullish seagullstrategy is $23.05 – $3.40 – $2.82 = $16.83 还在考纲里讲义就不放了是吧？

2024-01-31 08:50 1 · 回答

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2024-01-23 20:18 1 · 回答