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西红柿面 · 2023年06月27日

这道题的结论是一般性结论吗?

NO.PZ2016031201000034

问题如下:

A European call option and a European put option are written on the same underlying, and both options have the same expiration date and exercise price. At expiration, it is possible that both options will have:

选项:

A.

negative values.

B.

the same value.

C.

positive values.

解释:

B is correct.

If the underlying has a value equal to the exercise price at expiration, both options will have zero value since they both have the same exercise price. For example, if the exercise price is $25 and at expiration the underlying price is $25, both the call option and the put option will have a value of zero. The value of an option cannot fall below zero. The holder of an option is not obligated to exercise the option; therefore, the options each have a minimum value of zero. If the call has a positive value, the put, by definition, must have a zero value and vice versa. Both cannot have a positive value.

中文解析:

A选项, Put和call同时有负value。这个首先可以排除,因为option value肯定是大于等于0的。

B选项, value一样

C选项, put call同时有正value

我们知道 put= max[0, X-ST] call=max[0,ST-X] ,X-ST与ST-X是相反的,不可能同时大于0或者小于0。

它们只可能相等,且相等的时候,就是value=0的时候,即ST=X

到期日的时候option的value=0这个是一般结论吗?

1 个答案
已采纳答案

Lucky_品职助教 · 2023年06月27日

嗨,努力学习的PZer你好:


是的

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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NO.PZ2016031201000034 问题如下 A Europecall option ana Europeput option are written on the same unrlying, anboth options have the same expiration te anexercise price. expiration, it is possible thboth options will have: A.negative values. B.the same value. C.positive values. B is correct.If the unrlying ha value equto the exercise priexpiration, both options will have zero value sinthey both have the same exercise price. For example, if the exercise priis $25 anexpiration the unrlying priis $25, both the call option anthe put option will have a value of zero. The value of option cannot fall below zero. The holr of option is not obligateto exercise the option; therefore, the options eahave a minimum value of zero. If the call ha positive value, the put, finition, must have a zero value anviversBoth cannot have a positive value. 中文解析Put和call同时有负value。这个首先可以排除,因为option value肯定是大于等于0的。value一样put call同时有正value我们知道 put= max[0, X-ST] call=max[0,ST-X] ,X-ST与ST-X是相反的,不可能同时大于0或者小于0。它们只可能相等,且相等的时候,就是value=0的时候,即ST=X RT

2022-12-10 10:52 1 · 回答

NO.PZ2016031201000034 call option的value为啥是max(0,s-x)不应该是max(0,s-x/(1+rf)^T)吗

2021-06-24 20:29 1 · 回答

    由于老师上课反复提到op=IV+TV,所以expiration时TV=0,但是op=IV一定不可能是negative的________________________________________________但看到熊竹老师在之前回答提到option price和option value是等效的,这一点不太理解为什么呢?call pri= max(0,S-X)put pri= max(0,X-S)上面两个都是price啊,并不是value,为什么直接等价来推value相同呢

2019-01-09 15:57 1 · 回答

    老师,这个问题应该给一个前提条件吧,即“在到期日的spot pri= forwarprice”,才满足option value=0吧?

2018-09-11 16:04 1 · 回答