NO.PZ202301280100000701
问题如下：
Formulate a strategy that would
limit the downside exposure of SEA. Calculate the cost of the strategy.
选项：
解释：
Correct
Answer:
To protect SEA
stock from short-term downside risk, Braceras should use an at-the-money
protective put option from the available set of options in Exhibit 1.
Holding the asset
and buying a put on the asset is protective put strategy. A protective put
provides downside protection while keeping upside potential (other than the
cost of the puts).
Protective put =
long the underlying stock + long a put option contract
Number of put
contracts to buy = notional / (strike price × contract size) = ($2,000,000) /
($110.5 × 100) = 181put contracts
Braceras should
buy 181 put contracts.
Each $110 put is
priced at $5.05. For 182 contracts, it is 181 × $5.05 × 100 = $91,405.
为什么这里求合约个数，是2m除以strike price?
之前有一道题，求合约个数时候，是手上的cash除以premium算出来的。两种算法都可以吗？但是数字肯定不一样
