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八月必过 · 2021年09月21日

看不到答案里的图

  1. FRM I
  2. Financial Markets And Products

NO.PZ2016082402000031

问题如下：

An investor sells a June 2008 call of ABC Limited with a strike price of USD 45 for USD 3 and buys a June 2008 call of ABC Limited with a strike price of USD 40 for USD 5. What is the name of this strategy and the maximum profit and loss the investor could incur?

选项：

A.

Bear spread, maximum loss USD 2, maximum profit USD 3

B.

Bull spread, maximum loss unlimited, maximum profit USD 3

C.

Bear spread, maximum loss USD 2, maximum profit unlimited

D.

Bull spread, maximum loss USD 2, maximum profit USD 3

解释：

ANSWER: D

This position is graphed in Figure below. It benefits from an increase in the price between 40 and 45, so is a bull spread. The worst loss occurs below K1K_1 = 40, when none of the options is exercised and the net lost premium is 5−3=25-3=2. The maximum profit occurs above K2=45K_2=45, when the two options are exercised, for a net profit of $5 minus the lost premium, which gives $3.

如题 看不到答案里的图
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1 个答案

李坏_品职助教 · 2021年09月22日

嗨，努力学习的PZer你好：


这道题的确看不到figure，我帮你反馈一下~

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努力的时光都是限量版，加油！

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