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lion · 2023年03月07日

求解释。。。。

  1. FRM I
  2. Financial Markets And Products

NO.PZ2016082402000027

问题如下：

A one-year European put option on a non-dividend-paying stock with strike at EUR 25 currently trades at EUR 3.19. The current stock price is EUR 23 and its annual volatility is 30%. The annual risk-free interest rate is 5%. What is the price of a European call option on the same stock with the same parameters as those of this put option? Assume continuous compounding.

选项：

A.

EUR 1.19

B.

EUR 3.97

C.

EUR 2.41

D.

Cannot be determined with the data provided

解释：

ANSWER: C

By put-call parity,     c=p+Se−r∗T−Ke−rT=3.19+23−25e−0.05×1=3.19−0.78=2.409\;\;c=p+Se^{-r\ast T}-Ke^{-rT}=3.19+23-25e^{-0.05\times1}=3.19-0.78=2.409. Note that the volatility information is not useful.

为什么第一句话有个卖权执行价格是25，近期交易价格为3.19，所以没太理解第一句话

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1 个答案

品职答疑小助手雍 · 2023年03月08日

同学你好，第一句话你可以分开来看：有一个执行价格是25的put option，这个option现在市面上价值是3.19元。

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NO.PZ2016082402000027问题如下 A one-yeEuropeput option on a non-vinpaying stowith strike EUR 25 currently tras EUR 3.19. The current stopriis EUR 23 anits annuvolatility is 30%. The annurisk-free interest rate is 5%. Whis the priof a Europecall option on the same stowith the same parameters those of this put option? Assume continuous compounng. EUR 1.19 EUR 3.97 EUR 2.41 Cannot terminewith the ta provi ANSWER: Cput-call parity,     c=p+Se−r∗T−Ke−rT=3.19+23−25e−0.05×1=3.19−0.78=2.409\;\;c=p+Se^{-r\ast T}-Ke^{-rT}=3.19+23-25e^{-0.05\times1}=3.19-0.78=2.409c=p+Se−r∗T−Ke−rT=3.19+23−25e−0.05×1=3.19−0.78=2.409. Note ththe volatility information is not useful.​同学你好，第一句话你可以分开来看有一个执行价格是25的put option，这个option现在市面上价值是3.19元。 以上是品智老师的讲解，但根据答案25是K值呀，3.19是put option的值吗？麻烦将题干中数据与 PS值对应，这个话明显看不出来K值是25?这题里没说呀，3.19是看跌期权哪句话看出来来的呀，请对应翻译，

2023-03-08 16:48 1 · 回答

NO.PZ2016082402000027问题如下 A one-yeEuropeput option on a non-vinpaying stowith strike EUR 25 currently tras EUR 3.19. The current stopriis EUR 23 anits annuvolatility is 30%. The annurisk-free interest rate is 5%. Whis the priof a Europecall option on the same stowith the same parameters those of this put option? Assume continuous compounng. EUR 1.19 EUR 3.97 EUR 2.41 Cannot terminewith the ta provi ANSWER: Cput-call parity,     c=p+Se−r∗T−Ke−rT=3.19+23−25e−0.05×1=3.19−0.78=2.409\;\;c=p+Se^{-r\ast T}-Ke^{-rT}=3.19+23-25e^{-0.05\times1}=3.19-0.78=2.409c=p+Se−r∗T−Ke−rT=3.19+23−25e−0.05×1=3.19−0.78=2.409. Note ththe volatility information is not useful.​同学你好，第一句话你可以分开来看有一个执行价格是25的put option，这个option现在市面上价值是3.19元。以上是品智老师的讲解，但根据答案25是K值呀，3.19是put option的值吗？麻烦将题干中数据与 PS值对应

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