frr0717
2018-04-02 15:33A is correct. For an insurance policy, the amount of the loss that the insured is willing to bear is known as the deductible. For a protective put option, this amount is equivalent to the difference between the stock price and the put exercise price. Bochanski’s statement relates to the deductible. B is incorrect because a protective put’s time value and an insurance policy’s premium are considered to be equivalent. Neither of these are related to the protective put/insurance policy deductible. C is incorrect because a protective put’s stock volatility is analogous to the likelihood of loss for an insurance policy. A protective put’s time until expiration is analogous to the term of an insurance policy. None of these are related to the protective put/insurance policy deductible. A我懂, 但是B, C請(qǐng)老師分別解釋下, 感謝!~
所屬：CFA Level II > Derivatives 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Vincent助教
2018-04-02 18:34
該回答已被題主采納
protective put strategy 里面考慮的是股票價(jià)格，行權(quán)價(jià)格，和期權(quán)費(fèi)。B只考慮了期權(quán)費(fèi)(upfront premium), 因?yàn)槠跈?quán)費(fèi)含有time value和intrinsic value, 他提到了time value是期權(quán)費(fèi)的一部分，所以只提到了期權(quán)費(fèi)。C啥都沒考慮。
題目問的是可能承擔(dān)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(quán)價(jià)格，put的premium和股票價(jià)格。
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