1 / 6

# 證券及其衍生性金融商品 理論與實務 - PowerPoint PPT Presentation

I am the owner, or an agent authorized to act on behalf of the owner, of the copyrighted work described.

## PowerPoint Slideshow about ' 證券及其衍生性金融商品 理論與實務' - william-parks

An Image/Link below is provided (as is) to download presentation

Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.

- - - - - - - - - - - - - - - - - - - - - - - - - - E N D - - - - - - - - - - - - - - - - - - - - - - - - - -
Presentation Transcript

### 證券及其衍生性金融商品理論與實務

496G0046 王柏涵

496G0100 黃信憲

CALL1對2

(+248)

9200

9100

-247+113+82=-52

8800+52=8852

9100-8852=+248

9200+248=9448

9448

8852

0

8800(-52)

(圖一)

預期指數將溫和上漲，所以買進履約價8800(247)的call，賣出履約價9100(113)及9200(82)的call 。

若指數較買進低履約價的call以下，則皆歸零，損失為低履約價call與高履約價call的價差(-247+113+82=-52)，此為買權多頭價差交易模式的最大損失。

若指數漲至9100~9200之間會有最大獲利。(9100-8852=+248)

PUT1對2

-122+47.5+34.5=-40

8700+(-40)=8660

8660-8400=260

8300-260=8040

8300

8400

(+260)

8040

8660

0

8700(-40)

(圖二)

預期指數將溫和下跌，所以買進履約價8700(122)的put，賣出履約價8400(47.5)及8300(34.5)的put。

若指數較買進高履約價的put以上，則皆歸零，損失為高履約價put與低履約價put的價差(-122+47.5+34.5=-40)。

若指數跌至8300~8400之間會有最大獲利。(8660-8400=+260)

CALL1對2

PUT1對2

(+208)

8300

8400

9100

9200

(+208)

8892

9408

8092

8608

0

8700

8800

(-92)

(圖三)