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5601数理金融中等数值题short

Event Straddle Outcome 1

题目

An at-the-money earnings straddle costs 6 when the stock is at 100. Ignore discounting and any post-event vol mark effects, and suppose the stock moves by 8.5 in absolute terms by expiry. What are the buyer and seller PnL per share, and who did better?

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你的答案

buyer_pnl

seller_pnl

better