NO.PZ2020021203000067
问题如下:
Does it become more likely that a put option will be exercised before maturity when (a) the interest rate increases and (b) the stock price increases?
选项:
解释:
(a) When interest rates increase, the put option will be more likely to be exercised before maturity because the value of investing the profit at the risk-free rate after selling the stock at the strike price is increased. (b) When the stock price increases, the put option will be less likely to be exercised because the payoff from doing so will be smaller.
long put方的收益为(X-K)
A情况,无风险利率上升,未来价格K上升,long put方的收益(X-K)会减少,所以更愿意行权
B情况,股票价格上升,也就是现货价格上升,怎么分析long put方行权的意愿呢