然后我们来解释下call debit spread策略: 这个策略一般适用于你觉得标的资产在未来的一段时间不会上涨太多,但是大趋势是上涨。 核心思想:在比较低的价格位置买入 call option, 同时在稍微高点的位置卖出 call option,然后赚取价格在两个高低不同的标的价格之间的盈利(两份期权的到期日相同)。我们用具体的例子来解释...
总体上来说,我觉得我们讲解的call debit spread, call credit spread, put debit spread 还有 put credit spread策略,我觉得在市场上比较有效的是put credit spread 和 call credit spread . 总体上来说,call credit spread 用来看跌我们手中的标的资产,从而赚取sell call option的手续费,但是同时未来防止黑天鹅事件...
Assume that instead of a binary credit put option, FI intends to issue the bond with a credit spread call option. The bond’s risk factor is 2 and assume it is now one year from today. The value of the credit call option is closest to: A. 225,000. B. 300,000. C. the credit ...
Value of Equity 相当于Call option Value of Debt 想当于Put option 所以可以使用PS=CK来计算Value of debt 2.解释Credit Spreads,time to maturity, interest rate之间的关系 2.1 Credit Spread 风险Bond和无风险Bond的利率差 T增大,Credit Spread变宽,但是对非常风险的debt,Credit Spread有可能会收窄 ...
2. An example would be buying a Jan 50 call on ABC for $2, and writing a Jan 45 call on ABC for $5. The net amount received (credit) is $3. The investor will profit if the spread narrows. Can also be called "credit spread option" or "credit risk option". ...
18. Credit spread option pay off 的计算 Schweser notes 3 / page 125 19. Cash CDOs and synthetic CDOs 区别 In Cash CDOs , the issuer directly buys the actual securities 20. BISTRO 和 j-port区别 Both are synthetic structures. Pls refer to Schweser note 3 / page 138-139 ...
In the financial world, a credit spread option (also known as a "credit spread") is an options contract that includes the purchase of one option and the sale of a second similar option with a different strike price. Effectively, by exchanging two options of the same class and expiration, ...
An example of a bear call spread would include buying a January 50 call on ABC for $2 andwritinga January 45 call on ABC for $5. Let's break this down: You buy a January 50 call option on ABC stock for $2. This gives you the right to buy 100 shares of ABC at $50 per share...
The difference in yield between a risky bond and risk-free zero coupon bond is used to model a term structure of credit spreads (CSs) from which a closed-form pricing model of a call option on CSs is obtained. In addition, the degree to which the explicit regime shift affects CSs and ...
The difference in yield between a risky bond and risk-free zero coupon bond is used to model a term structure of credit spreads (CSs) from which a closed-form pricing model of a call option on CSs is obtained. In addition, the degree to which the explicit regime shift affects CSs and ...