题目
Of the following options, which one does not benefit from an increase in the stock price when the current stock price is $100 and the barrier has not yet been crossed:
选项
A.A down-and-out call with out barrier at $90 and strike at $110
B.A down-and-in call with in barrier at $90 and strike at $110
C.An up-and-in put with barrier at $110 and strike at $100
D.An up-and-in call with barrier at $110 and strike at $100
答案
B
解析
A down-and-out call where the barrier has not been touched is still alive and hence benefits from an increase in S, so a. is incorrect. A down-and-in call only comes alive when the barrier is touched, so an increase in S brings it away from the barrier. This is not favorable, so b. is correct. An up-and-in put would benefit from an increase in S as this brings it closer to the barrier of $110, so c. is not correct. Finally, an up-and-in call would also benefit if S gets closer to the barrier.一个没有触及障碍线的down-and –out call仍然有效，因此可以从S的增加中获益，所以A是不正确的。只有当触碰到障碍时，down-and-in call才会激活，所以S的增加会使它远离障碍。这是不利的，所以b是正确的。up-and-in看跌期权将从S的增加中受益，因为这使它更接近110美元的障碍，所以c是不正确的。最后，如果S越靠近障碍，up-and-in看涨也会受益。