bill007 · 2022年07月16日
NO.PZ2016031202000016
问题如下：
If the underlying is $20 at expiration, the exercise price is $18, the European put is worth
选项：
A.0
B.$2
C.greater than zero because there is time value.
解释：
A is correct. The value of European put at expiration is the greater of zero or the exercise price minus the value of the underlying. C is incorrect because there is no time value at expiration.
中文解析：
欧式看跌期权的value = max{0，exercise price - value of underlying}=max{0，-2}=0。
我记得另外一道类似的题就考虑了time value
NO.PZ2016031202000016 问题如下 If the unrlying is $20 expiration, the exercise priis $18, the Europeput is worth A.0 B.$2 C.greater thzero because there is time value. A is correct. The value of Europeput expiration is the greater of zero or the exercise priminus the value of the unrlying. C is incorrebecause there is no time value expiration.中文解析欧式看跌期权的value = max{0，exercise pri- value of unrlying}=max{0，-2}=0。 什么意思啊，那我执行价是18.到期了变成20. 那我行驶了权力不是赚2块吗？
NO.PZ2016031202000016 问题如下 If the unrlying is $20 expiration, the exercise priis $18, the Europeput is worth A.0 B.$2 C.greater thzero because there is time value. A is correct. The value of Europeput expiration is the greater of zero or the exercise priminus the value of the unrlying. C is incorrebecause there is no time value expiration.中文解析欧式看跌期权的value = max{0，exercise pri- value of unrlying}=max{0，-2}=0。 如题。看了其他同学的提问，还是不懂。
NO.PZ2016031202000016 如题~~~~~~~~~~~~~~
NO.PZ2016031202000016 $2 greater thzero because there is time value. A is correct. The value of Europeput expiration is the greater of zero or the exercise priminus the value of the unrlying. C is incorrebecause there is no time value expiration. 中文解析 欧式看跌期权的value = max{0，exercise pri- value of unrlying}=max{0，-2}=0。 还没有到行权期价格有可能发生变化，为社么不考试期权的时间价值呢？
