frr0717
2018-04-02 15:33題目: Bochanski cautions that covered call options are not as effective as protective put positions in protecting the portfolio against any future downturn. He comments, “Protective put positions are analogous to insurance policies.” When implementing protective put positions, Bochanski states that factors he considers are stock price and put exercise price. Upon thinking about Bochanski’s statement, Dan Smith states that he would consider time value and upfront premium. Beauregard adds that she considers stock volatility and time until expiration. Q. In comparing insurance policies to protective put positions, whose statements most likely relate to the amount of loss that the investor is willing to bear? A. Bochanski B. Smith C. Beauregard 字數(shù)超限了, 老師請refer to 下一題, 謝謝!
所屬：CFA Level II > Derivatives 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
Vincent助教
2018-04-02 18:31
該回答已被題主采納
protective put strategy 里面考慮的是股票價格，行權價格，和期權費。B只考慮了期權費(upfront premium), 因為期權費含有time value和intrinsic value, 他提到了time value是期權費的一部分，所以只提到了期權費。C啥都沒考慮。
題目問的是可能承擔的最大損失，protective put strategy的最大損失是X-P-S. 從公式看我們只考慮行權價格，put的premium和股票價格。
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