NO.PZ2016031202000017
问题如下:
If the underlying is $20 before expiration, the exercise price is $18, the value of an European put is
选项:
A.equal to exercise price.
B.greater than zero
C.equal to zero
解释:
B is correct. The exercise value is equal to zero, but the value of option is greater than zero because time value exists.
中文解析:
期权价格=time value+ intrinsic value
现在基础资产价格大于执行价格,所以put的intrinsic value=0,但因为还没有到期,所以有time value,因此期权价格>0
如题。