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FRM®一级金融市场与金融产品备考公式（4）
文章来源：网络
发布时间：2021-12-29 10:27
阅读：494次
本文继续为大家介绍FRM®一级风险管理基础的备考公式，以下是第三部分金融市场与金融产品的相关公式（4），一起来看吧。
Financial Markets and Products
Exercising American Options
It is never optimal to exercise an American call on a non-dividend-paying stock before its expiration date.
American puts can be optimally exercised early if they are sufficiently in-the-money.
An American call on a dividend-paying stock may be exercised early if the dividend exceeds the amount of forgone interest.【点击免费下载>>>更多FRM学习相关资料】
Covered Call and Protective Put
Covered call : Long stock plus short call.
Protective put: Long stock plus long put. Also called portfolio insurance.
Option Spread Strategies
Bull spread : Purchase call option with low exercise price and subsidize the purchase with sale of a call option with a higher exercise price.
Bear spread : Purchase call with high strike price and short call with low strike price.
Investor keeps difference in price of the options if stock price falls. Bear spread with puts involves buying put with high exercise price and selling put with low exercise price.
Butterfly spread : Three different options: buy one call with low exercise price, buy another with a high exercise price, and buy short two calls with an exercise price in between. Butterfly spread buyer is betting the stock price will stay near the price of the written calls.
Calendar spread : Two options with different expirations. Sell a short-dated option and buy a long-dated option. Investor profits if stock price stays in a narrow range.
Diagonal spread : Similar to a calendar spread except the options can have different strike prices in addition to different expirations.
Box spread : Combination of bull call spread and bear put spread on the same asset. This strategy will produce a constant payoff that is equal to the high exercise price minus the low exercise price.
Option Combination Strategies
Long straddle : Bet on volatility. Buy a call and a put with the same exercise price and expiration date. Profit is earned if stock price has a large change in either direction.
Strangle : Similar to straddle except purchased option is out-of-the-money, so it is cheaper to implement. Stock price has to move more to be profitable.
Strips and straps : Add an additional put (strip) or call (strap) to a straddle strategy.
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