看跌期權(quán)是什么？在學(xué)習(xí)CFA過程中是不是需要掌握這個(gè)知識(shí)呢？考題是怎樣的呢？小編給你說說這個(gè)知識(shí)！
An investor writes a put option with an exercise price of $40 when the stock price is $42. The option premium is $1. At expiration the stock price is $37. The investor will realize:
A a loss of $2.
B a loss of $3.
C a profit of $1.
【答案及解析】A Because the stock price at expiration is less than the exercise price, the buyer of the put option will exercise it against the writer. The writer will have to pay $40 for the stock and can only sell it for $37 in the market. However, the put writer collected the $1 premium for writing the option, which reduces the net loss to $2.
【核心詞匯 】put： 看跌期權(quán)
是指一類期權(quán)。即期權(quán)合約持有人有權(quán)利在合約規(guī)定的時(shí)間按一定的價(jià)格向?qū)Ψ劫u出基礎(chǔ)資產(chǎn)。
B-S模型是看漲期權(quán)的定價(jià)公式，公式表示為：
S+PE(S，T，L)=CE(S，T，L)+L(1+γ)-T
移項(xiàng)得:PE(S，T，L)=CE(S，T，L)+L(1+γ)-T-S，將B-S模型代入整理得：P=L·E-γT·[1-N(D2)]-S[1-N(D1)]此即為看跌期權(quán)初始價(jià)格定價(jià)模型。
C—期權(quán)初始合理價(jià)格
L—期權(quán)交割價(jià)格
S—所交易金融資產(chǎn)現(xiàn)價(jià)
T—期權(quán)有效期
r—連續(xù)復(fù)利計(jì)無風(fēng)險(xiǎn)利率H
σ2—年度化方差
N()—正態(tài)分布變量的累積概率分布函數(shù)
