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能给我讲解下zero-cost collar 吗？我实在看不懂，为什么C对，D不对呢？

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关键词：衍生品 collar zero Cost LAR 衍生品

If call is ATM, then it has the same price as a put ATM. But in a collar, the
put has a lower strike than call, so the put is an ITM put which has a price > ATM put = ATM call.

So it cannot be zero cost.

Enthuse 发表于 2012-8-3 22:14
If call is ATM, then it has the same price as a put ATM. But in a collar, the
put has a lower stri ...

为什么C对了呢？

Enthuse 发表于 2012-8-3 22:14
If call is ATM, then it has the same price as a put ATM. But in a collar, the
put has a lower stri ...

还是不太懂，都是ATM的话不成吗?zero-width?