NO.PZ2021061002000040
问题如下:
When the volatility of the
underlying increase,which of the following statements
about the call option is correct?Assume the call option
is at-the-money.
选项:
A.
Both the lower and the upper
payoff value will increase
B.
Only the lower of the payoff
value will increase
C.
Only the upper of the payoff
value will increase
解释:
C is correct
本题考察的是当基础资产价格波动放大时,这个call option的潜在的较低和较高的payoff会怎样变化。
我们知道期权较低的payoff就是它不行权的时候,这个时候它的payoff是0;
当基础资产波动放大时,基础资产价格有可能涨得更高,那么潜在的upper payoff就会升高,但lower payoff仍然是它不行权的时候的value,也就是还是0. 所以只有C是对的。
但因为at the money时,期权payoff受基础资产波动影响更大