Daisy
2023-04-24 22:40第二題，ATM call的價格是2.4不是1.8啊
所屬：CFA Level III > Derivatives and Currency Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Evian, CFA助教
2023-04-25 15:37
該回答已被題主采納
ヾ(?°?°?)??你好同學(xué)，
這兩題答案是不對，因?yàn)閘ong straddle策略應(yīng)該long執(zhí)行價格相同的期權(quán)，put和call都應(yīng)選擇Exercise Price=39.5對應(yīng)的期權(quán)費(fèi)
A straddle strategy is implemented by buying closer to ATM puts and ATM calls.
Cost of closest to ATM put option (i.e., $39.50 strike) is $2.22.
Cost of ATM call option (i.e., $39.50 strike) is $2.40.
Cost of each straddle option = $2.22 + $2.40 = $4.62
Number of option contracts required to hedge Reddy’s CFT position
= 50,000/100 = 500 option contract
Overall cost to implement collar strategy = $4.62 * 500 = $2,310
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