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yolanda · 2020年03月11日

问一道题：NO.PZ2020021203000095 [ FRM I ]

  1. FRM I
  2. Financial Markets And Products

问题如下：

Suppose that put options on an asset with strike prices USD 30 and USD 35 and the same time to maturity cost USD 4 and USD 7 (respectively). How can these options be used to create (a) a bear spread and (b) a bull spread?

解释：

(a) A bear spread is created by buying the put option with a strike price of USD 35 and selling the put option with a strike price of USD 30. (b) A bull spread is created by buying the put option with a strike price of USD 30, selling the put option with a strike price of USD 35, and adding the present value of USD 5 to the portfolio.

不明白最后半句提到5USD的PV是什么意思，这个策略的回报不应该在3-8之间吗
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2 个答案

袁园_品职助教 · 2020年04月03日

王一同学你好！

你说的套利机会是怎么套利，可以具体讲一下吗？

袁园_品职助教 · 2020年03月12日

同学你好！

最后半句其实是在比较用 put option 做这个 bull spread 比 用 call option 做这个 bull spread 省了 5块钱。

具体的讲解可以参考原版书

王一 · 2020年04月02日

那这算有套利机会嘛？

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最后半句话什么意思呀

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