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苏苏1124 · 2023年03月04日

老师好,这题完全没明白在考什么?

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。

如题。


看了其他同学的提问,还是不懂。

3 个答案
已采纳答案

Lucky_品职助教 · 2023年03月08日

嗨,爱思考的PZer你好:


本题考察看跌期权的行权收益,行权价18,到期价格20,行权收益是0(没有跌)

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

苏苏1124 · 2023年03月08日

请问为何是0呢?如果行权,就可以赚2不是吗?

苏苏1124 · 2023年03月11日

看错了 当成看涨期权了。谢谢老师

Lucky_品职助教 · 2023年03月13日

嗨,爱思考的PZer你好:


好的,如果有疑问可以再提问,加油~

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努力的时光都是限量版,加油!

Lucky_品职助教 · 2023年03月08日

嗨,爱思考的PZer你好:


这个是看跌期权,行权收益是max(0,x-s),x-s=18-20= -2,是小于0的,因此行权收益是0

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加油吧,让我们一起遇见更好的自己!

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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?

2023-07-25 06:15 2 · 回答

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。 我记得另外一道类似的题就考虑了time value

2022-07-16 08:54 1 · 回答

NO.PZ2016031202000016 如题~~~~~~~~~~~~~~

2022-01-19 10:37 2 · 回答

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?

2021-10-31 17:07 1 · 回答