看跌期權是什么？在學習CFA過程中是不是需要掌握這個知識呢？考題是怎樣的呢？小編給你說說這個知識！

An investor writes a put option with an exercise price of $40 when the stock price is $42. The option premium is $1. At expiration the stock price is $37. The investor will realize:

A  a loss of $2.

B  a loss of $3.

C  a profit of $1.

【答案及解析】A  Because the stock price at expiration is less than the exercise price, the buyer of the put option will exercise it against the writer. The writer will have to pay $40 for the stock and can only sell it for $37 in the market. However, the put writer collected the  $1 premium for writing the option, which reduces the net loss to $2.

【核心詞匯 】put： 看跌期權

是指一類期權。即期權合約持有人有權利在合約規定的時間按一定的價格向對方賣出基礎資產。

B-S模型是看漲期權的定價公式，公式表示為：

S+PE(S，T，L)=CE(S，T，L)+L(1+γ)-T

移項得:PE(S，T，L)=CE(S，T，L)+L(1+γ)-T-S，將B-S模型代入整理得：P=L·E-γT·[1-N(D2)]-S[1-N(D1)]此即為看跌期權初始價格定價模型。

C—期權初始合理價格

L—期權交割價格

S—所交易金融資產現價

T—期權有效期

r—連續復利計無風險利率H

σ2—年度化方差

N()—正態分布變量的累積概率分布函數