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苏苏1124 · 2023年03月04日

不明这道题考的什么知识点。谢谢老师!

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。

1 个答案

Lucky_品职助教 · 2023年03月08日

嗨,努力学习的PZer你好:


本题考察期权的行权收益情况。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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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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