股价上行时的到期日价值=50*(1+20%)-55=5(元)下行时的股价=50*(1-17%)=41.5(元),由于小于执行价格,得出下行时的到期日价值为0。套期保值比率=(5-0)/(60-41.5)=0.27购买股票支出=0.27*50=13.5(元)借款=(41.5*0.27-0)/(1+2.5%)=10.93(元)期权价值=13.5-10.93=2.57(元)根据看涨期权—看跌期权的平价原理可知 2.57-看跌期权价值=50-55/(1+2.5%)看跌期权价值=2.57-50+55/(1+2.5%)= 6.23(元)