NO.PZ2018062007000078
问题如下:
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:
选项:
A.decreases.
B.remains the same.
C.increases.
解释:
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.
中文解析:
题干的意思是当基础资产价格波动降低时,这个call option的潜在的较低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;
当基础资产波动降低时,基础资产价格涨的更高的可能性就会降低,那么潜在的upper payoff就会降低,但lower payoff仍然是它不行权的时候的value,也就是还是0.
不是说主动构建Hedged Portfolio,无论现货怎么涨跌,组合的Value都不会变吗?而且上涨情况的组合对应的value应该等于下跌情况的组合value呀,这样的话应该无论资产价格怎么变value总是不变的,那为什么答案解析里还说volatility越大,上涨组合的value越大呢?