NO.PZ2023052407000012
问题如下：
A stock currently trades at USD25. In one year, it will either increase in value to USD35 or decrease to USD15. An investor sells a call option on the stock, granting the buyer the right, but not the obligation, to buy the stock at USD25 in one year. At the same time, the investor buys 0.5 units of the stock. Which of the following statements about the value of the investor’s portfolio at the end of one year is correct?
选项：
A.The portfolio has a value of USD7.50 in both scenarios
B.The portfolio has a value of USD25 in both scenarios
C.The portfolio has a value of USD17.50 if the stock goes up and USD7.50 if the stock goes down.
解释：
A is correct. Regardless of whether the stock increases or decreases in price, the investor’s portfolio has a value of USD7.50 as follows:
If stock price goes to USD35, value = 0.5×35 – 10 = 7.50.
If stock price goes to USD15, value = 0.5×15 – 0 = 7.50.
If the stock price rises to USD35, the sold call option at USD25 has a value to the buyer of USD10, offsetting the rise in the stock price.
A is correct. Regardless of whether the stock increases or decreases in price, the investor’s portfolio has a value of USD7.50 as follows:
If stock price goes to USD35, value = 0.5×35 – 10 = 7.50.
If stock price goes to USD15, value = 0.5×15 – 0 = 7.50.
If the stock price rises to USD35, the sold call option at USD25 has a value to the buyer of USD10, offsetting the rise in the stock price.
视频讲解中不是说利用终值计算porfolioC0的价格吗，应该得给个无风险利率，然后用终值7.5计算吧？这个怎么就直接推导了呢？是怎么说可以抵消，就能得出C0的价格？
