雞同學(xué)
2023-02-21 06:59為什么選B不選C？
所屬：FRM Part I > Valuation and Risk Models 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Lucia助教
2023-02-21 11:12
該回答已被題主采納
同學(xué)你好，通過(guò)計(jì)算，B的收益是比C高的
In regard to (B), payoff of average strike put = max[0, Avg(S) - S(T)] = max[0, 22 - 17] = $5.00
In regard to (C), payoff of an average price call with strike of $20.00 = max[0, Avg(S) - K] = max[0, 22 - 20] = $2.00
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