问题
单项选择题
An investor owns a stock portfolio that closely follows the Standard & Poor’s 500 Index (S&P500). He purchases one S&P500 stock index put option. The investor’s position is now portfolio insurance with the following characteristics: Portfolio position: LONG S&P500 Portfolio purchase price:1427.21 Option position: LONG 1 put option Underlying asset:S&P 500 Index Exercise price : 1225 Premium :3 Expiration date : November If the expiration-day price of S&P500 were 1200, then the expiration-day profit/loss for the portfolio insurance would be:
A．
| A. +227.21+25-3=249.21. |
B．
| B. -227.21+25-3= -205.21. |
C．
| C. -227.21+0-3 = -230.21. |
答案
参考答案：D
解析：
(ST-St) +Max(0, X-ST) -Pt =(1, 200.00 - 1, 427.21) +Max(0, 1, 225-1, 200.00)-3.00 = -227.21 +Max(0, 25.00) -3.00 = -227.21 +25.00 -3.00 = - 205.21