问一道题：NO.PZ2020021203000095 [ FRM I ]

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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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？

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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

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王一 · 2020年04月02日

那这算有套利机会嘛？

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NO.PZ2020021203000095 问题如下 Suppose thput options on asset with strike prices US30 anUS35 anthe same time to maturity cost US4 anUS7 (respectively). How cthese options useto create (a besprean(a bull sprea (A bespreis createbuying the put option with a strike priof US35 anselling the put option with a strike priof US30. (A bull spreis createbuying the put option with a strike priof US30, selling the put option with a strike priof US35, anaing the present value of US5 to the portfolio. 请问一下老师，我觉得最多会带来3的收益呀根据bull put 的图

2022-05-24 10:03 1 · 回答

最后半句话什么意思呀

2020-02-24 19:27 1 · 回答

问一道题：NO.PZ2020021203000095 [ FRM I ]

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