问题
单项选择题
Delbert Gossert owns stock worth $32 per share. Gossert buys a put option with a strike price of $32 for $2.50. At expiration, the stock is valued at $32 per share. The profit or loss from Gossert's portfolio insurance strategy is a:
A．
| A. loss of $2.50. |
B．
| B. $0, no gain or loss. |
C．
| C. gain of $2.50. |
答案
参考答案：A
解析：The put option is at-the-money at expiration ( Max (0, X - S) ) and is, therefore, worthless. The stock price didn't change, so Gossert is only out the premium paid for the option, $2.50.