[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?

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