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