1個回答
Adam助教
2020-07-07 17:30
該回答已被題主采納
同學你好。這題問的很簡單，假設ABC股票上升1元，XYZ股票下降1.67元，以下哪個策略獲利做大。
A short ABC put (45) and short XYZ call (7.5); profit=0.2+2.5-(8.13-7.5)=2.07
B long ABC put (45) and long XYZ call(7.5); profit=-0.2-2.5+(8.13-7.5)=-2.07
C long ABC call (55) and short XYZ put(10); profit=-1.1+0.75-(10-8.13)=-2.22
D short ABC call(55) and long XYZ put(10); profit=+1.1-0.75+(10-8.13)= 2.22
D最大
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