期權(quán)期貨考試大題(已修改)
2025-04-06 04:07 本頁面
【正文】 $70、$65和$60，市場價格分為$$3和$2. ，蝶式差價期權(quán)將導(dǎo)致?lián)p失？ 基于同一股票的有相同的到期日敲定價為 $70的期權(quán)市場價格為 $4. 敲定價$65 的看跌期權(quán)的市場價格為 $6。，寬跨式期權(quán)將導(dǎo)致?lián)p失？ 答案： buy a put with the strike prices $65 and buy a call with the strike prices $70, this portfolio would need initial cost $10. The pattern of profits from the strangle is the following:Stock Price RangePayoff from Long PutPayoff from Long CallTotal PayoffTotal ProfitsST ≤6565 ST065 ST55 ST65 ＜ ST ＜7000010ST 700ST70ST70ST80當(dāng) 50ST80時，組合會帶來損失 遠(yuǎn)期/期貨價格公式及其價值公式，BS公式的使用 1).What is the price of a European call option on a nondividendpaying stock when the stock price is $69, the strike price is $70, the riskfree interest rate is 5% per annum, the volatility is 35% per annum, and the time to maturity is six months? 2). Suppose the current value of the index is 500, continuous dividend yields of index is 4% per annum, the riskfree interest rate is 6% per annum . if the price of threemonth European index call option with exercise price 490is $20, What is the price of a threemonth European index put option with
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