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政昭 · 2024年04月10日

为什么call option/put option要站在sell/buy的角度考虑?

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.

为什么call option/put option要站在sell/buy的角度考虑?

1 个答案
已采纳答案

品职助教_七七 · 2024年04月10日

嗨,努力学习的PZer你好:


教材给的例子是sell call和buy put。理论上也可以是其他的角度。

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