An investor notices that one Australian do

问题单项选择题

An investor notices that one Australian dollar is selling for $0. 67 in U. S. dollars. A put option with an exercise price of $0.75 is selling for $0.14. An investor takes a long position in a protective put. What is the value of the position at expiration and what is the profit if the price of one Australian dollar at expiration is $ 0.70 Value at expiratory Protective put profit（）①A. $ 0.75 -$ 0.06 ②B. $ 0.75 $ 0.08 ③C. $ 0.61 $ 0.08

A. ①

B. ②

C. ③

答案

参考答案：A

解析：

V_T=S_T-4-Max (0, X-S_T)

V_T=$0.70+Max (0, 0.75-0.70)=$0.75

=V_T-V₀=0.75-(S₀+p₀)=0.75-(0.67+0.14)=-$0.06