NO.PZ2023041003000047
问题如下：
Weber states:
“Alternatively, we could consider options on the Eurodollar futures, which are
an actively traded Libor- based derivative contract reflecting the three- month
Libor rate anticipated on the settlement date of the contract. Two consecutive
three- month contracts can be combined to hedge interest rates for a period of
six months, and both American- and European- style options are traded. What
valuation model would you apply to these options?”
Franco replies:
“The Black model can be used to value options on the Eurodollar future. In this
model, futures options have two components: a futures component and a bond
component. When hedging against rising interest rates, according to the Black
model, the Eurodollar futures option used can be viewed as the futures
component minus the bond component.”
Franco’s
description of the Black model’s approach to valuation of Eurodollar futures
options used for hedging is:
选项：
A.correct.
incorrect, because he is describing a call option.
incorrect, because he is describing a put option.
解释：
Franco is
incorrect because he describes a long call option, which according to the Black
model can be viewed as the futures component minus the bond component. Long put
options hedge against rising interest rates. The Black model evaluates put
options as the bond component minus the futures component.
A is incorrect.
The statement is incorrect.
C is incorrect.
The Black model evaluates put options as the bond component minus the futures
component.
hedge against rising interest rates为什么是用Long put options，不是害怕利率涨就应该用做一个涨了能赚钱的操作，不是应该是long call么
