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。