开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

水瓶公主 · 2023年03月02日

只能在分红日判断行权吗

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021205000031

问题如下：

A stock provides dividends of USD 0.25 per share every three months. The next two ex-dividend dates are in two months and five months. The risk-free rate is 4% per annum. At what times might a six-month American call option with a strike price of USD 50 be exercised?

解释：

The possible exercise times are immediately before the stock goes ex-dividend at the two-month point and the five-month point, as well as at the end of the option's life. The ex-dividend dates are after 0.16667 and 0.41667 years, and the end of the option's life is after 0.5 years. Because:

0.25 < 50(1 -e−0.04X(0.41667−  0.16667)e^{-0.04X(0.41667-\;0.16667)}]

we can use the results at the end of Section 15.7 to show that the option should never be exercised at the two-month point. Because:

0.25 > 50(1 -e−0.04X(0.5−  0.41667)e^{-0.04X(0.5-\;0.41667)}]

the option will sometimes be exercised immediately before the five-month point. Possible exercise times are therefore at five months and six months.

这道题假定的是只能在分红日行权吗？为什么不是1/2—1/6

添加评论
1 个答案

品职答疑小助手雍 · 2023年03月02日

同学你好，肯定是在分红日前行权的，因为分红后再行权的话S就会直接下降，减X的收益就少了。

对于支付现金股利（dividend）的股票，美式的call，如果dividend大于行权价 * [1-exp(△T)]，那么提前行权可能是合理的。如果dividend 小于等于行权价 * [1-exp(△T)]，那么就不应该提前行权。

然后拿0.25作比较的肯定就是两个付息日之间的时间差了，也就是用（5/12减去2/12）作为T折现。

  • 1

    回答

  • 0

    关注

  • 245

    浏览
相关问题

NO.PZ2020021205000031 问题如下 A stoprovis vin of US0.25 per share every three months. The next two ex-vintes are in two months anfive months. The risk-free rate is 4% per annum. whtimes might a six-month Americcall option with a strike priof US50 exercisep.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #484045}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #4b4347}span.s1 {color: #4a5465}span.s2 {color: #6b5547}span.s3 {color: #3f3a3 The possible exercise times are immeately before the stogoes ex-vinthe two-month point anthe five-month point, well the enof the option's life. The ex-vintes are after 0.16667 an0.41667 years, anthe enof the option's life is after 0.5 years. Because:0.25 50(1 -e−0.04X(0.41667−  0.16667)e^{-0.04X(0.41667-\;0.16667)}e−0.04X(0.41667−0.16667)]we cuse the results the enof Section 15.7 to show ththe option shoulnever exercisethe two-month point. Because:0.25 50(1 -e−0.04X(0.5−  0.41667)e^{-0.04X(0.5-\;0.41667)}e−0.04X(0.5−0.41667)]the option will sometimes exerciseimmeately before the five-month point. Possible exercise times are therefore five months ansix months.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #474046}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #484246}p.p3 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #554e56}p.p4 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #463f47}p.p5 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #504b50}p.p6 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #433f47}span.s1 {color: #466b}span.s2 {color: #685347}span.s3 {color: #303c63}span.s4 {color: #4a5465}span.s5 {color: #4e2c3a}span.s6 {color: #3f3f48}span.s7 {color: #6c6361}span.s8 {color: #7b7b7f}span.s9 {color: #5e6c7f}span.s10 {color: #665047}span.s11 {color: #656166}span.s12 {color: #7f7b7span.s13 {font: 5.0px Helvetica}span.s14 {color: #664f47}span.s15 {color: #354067}span.s16 {color: #4e2c3f} he ex-vintes are after 0.16667 an0.41667 years, anthe enof the option's life is after 0.5 years.

2022-09-18 11:33 1 · 回答

NO.PZ2020021205000031问题如下A stoprovis vin of US0.25 per share every three months. The next two ex-vintes are in two months anfive months. The risk-free rate is 4% per annum. whtimes might a six-month Americcall option with a strike priof US50 exercisep.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #484045}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #4b4347}span.s1 {color: #4a5465}span.s2 {color: #6b5547}span.s3 {color: #3f3a3a} The possible exercise times are immeately before the stogoes ex-vinthe two-month point anthe five-month point, well the enof the option's life. The ex-vintes are after 0.16667 an0.41667 years, anthe enof the option's life is after 0.5 years. Because:0.25 50(1 -e−0.04X(0.41667−  0.16667)e^{-0.04X(0.41667-\;0.16667)}e−0.04X(0.41667−0.16667)]we cuse the results the enof Section 15.7 to show ththe option shoulnever exercisethe two-month point. Because:0.25 50(1 -e−0.04X(0.5−  0.41667)e^{-0.04X(0.5-\;0.41667)}e−0.04X(0.5−0.41667)]the option will sometimes exerciseimmeately before the five-month point. Possible exercise times are therefore five months ansix months.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #474046}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #484246}p.p3 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #554e56}p.p4 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #463f47}p.p5 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #504b50}p.p6 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #433f47}span.s1 {color: #466b}span.s2 {color: #685347}span.s3 {color: #303c63}span.s4 {color: #4a5465}span.s5 {color: #4e2c3a}span.s6 {color: #3f3f48}span.s7 {color: #6c6361}span.s8 {color: #7b7b7f}span.s9 {color: #5e6c7f}span.s10 {color: #665047}span.s11 {color: #656166}span.s12 {color: #7f7b7span.s13 {font: 5.0px Helvetica}span.s14 {color: #664f47}span.s15 {color: #354067}span.s16 {color: #4e2c3f}是不是只要计算出来大于分红，不管put还是call，都可以提前行权

2022-03-24 18:58 1 · 回答

NO.PZ2020021205000031 A stoprovis vin of US0.25 per share every three months. The next two ex-vintes are in two months anfive months. 这句话能画一下时间轴么……我怎么没读懂

2021-03-20 22:48 2 · 回答