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李丰丰 · 2020年02月21日

问一道题:NO.PZ2020011901000079 [ FRM I ]

问题如下:

A trader thinks that the price of a stock currently priced at USD 70 will increase. The trader is trying to choose between buying 100 shares and buying European call options on 1,000 shares. The options cost USD 7 per option and have a strike price of USD 70 with a maturity of six months. Explain the difference between the two trading strategies.

解释:

The option trading strategy is considerably riskier as indicated by the following table:


您好,请问option 1手是100shares,option on 1000shares不应该是10手吗?那期权费的话不应该是7*10=70吗?St是50的时候不行权,不应该是-70吗?谢谢
1 个答案

orange品职答疑助手 · 2020年02月21日

同学你好,这边题目的本意不是让我们像再实务里那样去考虑“1手对应多少份”,这里按shares考虑就可以了。1000shares,每一份shares是7元。本题是为了说明期权的杠杆高,比标的现货波动要剧烈

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