NO.PZ202212300200003001
问题如下：
Given the information in Exhibit 1, the minimum cost
of implementing Strategy 1 is closest to:
选项：
A.
$12.49
B.
$12.75
C.
$12.86
解释：
Correct Answer: A
A bull call spread
is constructed by buying a lower exercise call and writing a higher exercise
call. A bull spread becomes more valuable when the price of the underlying asset
rises. The minimum cost implementation would typically use options with strike prices
close to the current market price.
Buy $25 strike
call and sell $35 strike call
Net premium for a
bull call spread Vo = cL – cH = $10.30 – $1.45 = $8.85
A bear put spread
is constructed by buying a higher exercise put and writing a lower exercise
put. A bear spread becomes more valuable when the price of the underlying asset
declines. The minimum cost implementation would typically use options with
strike prices close to the current market price.
Buy $35 strike put
and sell $25 strike put
Net premium for a
bull call spread Vo = pH – pL = $5.20 – $1.56 = $3.64
Total cost = $8.85
+ $3.64 = $12.49
存在bear call和bull put吗
