问题
单项选择题
Anthony Gleason owns a stock valued at $50 per share. Gleason buys a put option with a strike price of $50 for $3. At expiration of the put option, the stock is valued at $65 per share. The profit from Gleason's portfolio insurance strategy is:
A．
| A. $18. |
B．
| B. $3. |
C．
| C. $12. |
答案
参考答案：C
解析：The option is out-of-the-money at expiration ( Max (0, X - S) ) and is, therefore, worthless. Gleason gains the $15 per share increase in the stock price but is out the premium for the option, leaving a gain of $12=( $65- $50- $3).