UC知道一道套利的金融题~~~~~~~~帮忙~~~~~~~
来源：百度知道 编辑：UC知道 时间：2024/05/31 19:18:51
中英文回答皆可~~要有说明~~谢谢~~急啊~~~~
In April, Mr. Karam of U.S. ordered a Benz, while euro was selling very high against the dollar. The spot rate is $1.40/€ when he ordered, his banker forecast that the exchange rate would be $1.60/€ when he took the car in October. He wanted a 6-month euro call (€50000) with a strike price of $1.56/€ for a premium of 2.75 cents/€.
Questions
1) How much did Mr. Karam make if the euro rose to $1.62?
2) What did the exchange rate have to be for him to break even?
In April, Mr. Karam of U.S. ordered a Benz, while euro was selling very high against the dollar. The spot rate is $1.40/€ when he ordered, his banker forecast that the exchange rate would be $1.60/€ when he took the car in October. He wanted a 6-month euro call (€50000) with a strike price of $1.56/€ for a premium of 2.75 cents/€.
Questions
1) How much did Mr. Karam make if the euro rose to $1.62?
2) What did the exchange rate have to be for him to break even?
这是最基础的期权交易模型 Karam要购买50000欧元的欧式看涨期权 期权费为
50000*0.0275=1375美元 协议价格（striking price）为1.56美元
1）欧元升到1.62美元时 期权价值为50000*（1.62-1.56）=3000美元 减去期权费 karam净获利为3000-1375=1625美元
2）假设盈亏平衡时欧元兑美元汇率为e，则50000*（e-1.56）=1375
e=$1.5875/€
...可怜的孩子 不是问过了么~~~
楼上这哥们是对的