Three put options on a stock have the same expiration date and strike prices of $55, $60 and $65. The market prices of these options are $3, $5 and $8, respectively. Explain how a butterfly spread can be created. Construct a table showing the profit/loss from the strategy at expiry. Using Excel, draw a diagram of the position at expiry. For what range of terminal stock prices, ST, would the butterfly spread lead to a loss?
题目给的假设如上,两个put 的图片就是画不出来,觉得挺郁闷的,请高手帮忙!
欢迎光临 FRM论坛 (http://frmspace.com/) | Powered by Discuz! 7.2 |