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标题: [求助] CFA L1 Derivitive 问题 [打印本页]

作者: Jalapeno4u 时间: 2008-6-4 08:01
标题: [求助] CFA L1 Derivitive 问题

Schweser June 08 Exam 2 Afternoon

112. An investor notices that one Australian dollar is selling for $0.67 in U.S. dollars. A put option on an Australian dollar with an exercise price of $0.75 is selling for $0.14. An investor takes a long position of one Australian dollar and buys a protective put. What is the value of the strategy at expiration and what is the profit if the price of one Australian dollar at expiration is $0.70?

Value at expiration Protective put profit

A. $0.75 -$0.06

B. $0.75 $0.08

C. $0.61 $0.08

D. $0.61 -$0.06

A is the answer.

How to calculate the two numbers? What does "value at expiration" mean?

作者: 会飞的小蘑菇 时间: 2008-6-4 12:00
没时间具体算了很忙，protect put 就是long put+stock，直接往里面代数就行了

作者: 遥远的绿洲 时间: 2008-6-6 18:55

the cost of this strategy is 0.76+0.14=0.81, while at expiration you can only sell 0.75, the loss is 0.06

作者: Jalapeno4u 时间: 2008-6-10 06:49
Thanks, 遥远的绿洲.

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