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早早 · 2023年03月05日

不太懂这道题,求讲解

Q. Assume a call option’s strike price is initially equal to the price of its underlying asset. Based on the binomial model, if the volatility of the underlying decreases, the lower of the two potential payoff values of the hedge portfolio:

  1. decreases.
  2. remains the same.
  3. increases.

Solution

B is correct. When the volatility of the underlying decreases, the value of the option also decreases, meaning that the upper payoff value of the hedge portfolio combining them declines. However, the lower payoff value remains at zero.

1 个答案

Lucky_品职助教 · 2023年03月09日

嗨,爱思考的PZer你好:


这是原版书的一道课后题

本题想问的是如果基础资产波动增加,期权收益的上下限是否会有所突破,我们知道上限有可能突破,下限不可能被突破,但也不会被抬高,看下面的payoff图像就一目了然了

视频讲解位置见下图

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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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