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發(fā)布時間:2021-07-12 09:24編輯:融躍教育FRM
Combinations of Calls and Puts是FRM一級考試的相關(guān)內(nèi)容,在備考中,考生一定要對相關(guān)內(nèi)容有所了解。下文是對它的詳細介紹,一起了解一下!
Straddle :
long straddle= long call+ long put
? This strategy is profitable when the stock price moves strongly in either direction. This strategy bets on volatility.》》》戳:免費領(lǐng)取FRM各科視頻講義+歷年真題+21年原版書(PDF版)
short straddle= short call+ short put
? bets on little movement in the stock
Strangle :
Different strike price (compared with straddle)
Strips :
Long 2 Put +Long 1 Call
Straps :
Long 2 Call +Long 1 Put
Collar :
Collar= protective put+ covered call = long stock+ short call + long put
? If the premium of the two are equal, it is called a zero-cost collar.
Box pread:
Box Spread= bull call spread+ bear put spread
Interest rate Option: 【資料下載】點擊下載融躍教育FRM考試公式表
Call/Put :
Call: floating-rate borrower
Put: floating-rate investor
計算payoff
? Call: P=max (0, NP* (LIBOR - cap strike) * actual days /360)
? Put: P=max (0, NP* (floor strike - LIBOR) * actual days /360)
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