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必过1030_ · 2019年11月21日

问一道题:NO.PZ2018091705000066 [ CFA III ]

问题如下图:

如果价格下降,为什么会得到strike price of calls啊?

1 个答案

包包_品职助教 · 2019年11月22日

嗨,努力学习的PZer你好:


题目说:If the stock price increases above the strike price at maturity, the calls will be exercised and Morrison will deliver his long shares. He would receive a total sum equal to the strike price of the calls and the premium from the initial sale of the calls. If MBI closes at or below the strike price at expiration, the calls will expire worthless and Morrison will retain the option premium and the long shares.

因为这个策略是short call option ,所以股价上升,long 方行权,Morrison 就以strike price 把股票交割给对方,所以他总共收到的是期权费+strike  sprice 如果股价下跌,long方不行权他白白拿到期权费 

所以如果价格下降,不会得到strike price of calls

 


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