NO.PZ2016031201000042
问题如下:
The value of a European put option can be either directly or inversely related to the:
选项:
A.exercise price.
B.time to expiration.
C.volatility of the underlying.
解释:
B is correct.
The value of a European put option can be either directly or r inversely related to time to expiration. The direct effect is more common, but the inverse effect can prevail the longer the time to expiration, the higher the risk-free rate, and the deeper in the- money is the put. The value of a European put option is directly related to the exercise price and the volatility of the underlying.
中文解析:
欧式看跌期权的价值跟Time to expiration的关系可能是positive,也有可能是negative的。
因为看跌期权的收益是有限的(股价最低跌到0),当在到期之前期权是deep in the money,此时又不能提前行权,只能焦急等待赶快到期行权。此时距离到期时间越长,对投资者越不利。
也就是v=max【(X/(1+rf)-St),0】来考虑?