文档介绍：$70、$65和$60,市场价格分为$5、$3和$2. ,蝶式差价期权将导致损失?
基于同一股票的有相同的到期日敲定价为$70的期权市场价格为$4. 敲定价$65 的看跌期权的市场价格为$6。,宽跨式期权将导致损失?
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 Range
Payoff from Long Put
Payoff from Long Call
Total Payoff
Total Profits
ST ≤65
65- ST
0
65- ST
55 - ST
65 < ST <70
0
0
0
-10
ST >70
0
ST-70
ST-70
ST-80
当 50<ST<80时,组合会带来损失
远期/期货价格公式及其价值公式,B-S公式的使用
1).What is the price of a European call option on a non-dividend-paying stock when the stock price is $69, the strike price is $70, the risk-free 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 risk-free interest rate is 6% per annum . if the price of three-month European index call option with exercise price 490is $20, What is the price of a three-month European index put option with exercise price 490?
by put-call parity
3) What is the price of a European futures put option:current futures price is $19, the strike price is $20, the risk-free interest rate is 1