开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

椰子鸡 · 2024年04月18日

为什么call的upper是Sx

  1. CFA I
  2. Derivative

NO.PZ2023040401000080

问题如下：

Suppose the strike price of a one-year call option is CAD100, the risk free rate is 2%. At time 0, the underlying asset, S0, trades at CAD98, now six months have passed, the underlying asset, St, trades at CAD102. Which of the following calculations of the upper and lower bounds of the call option is correct?

选项：

A.

The upper bound of the call option is CAD102; the lower bound of the call option is 0.

B.

The upper bound of the call option is CAD102; the lower bound of the call option is CAD2.9852.

C.

The upper bound of the call option is CAD2.9852; the lower bound of the call option is 0.

解释：

ct,Lower bound = Max(0, St − X(1 + r)−(T−t)) = Max (0, 102 – 100(1+2%)-0.5) = CAD2.9852

ct,Upper bound = St = CAD102.

看到讲义里这么写了。

为啥 稍微解释一下。

添加评论
1 个答案

pzqa35 · 2024年04月19日

嗨，从没放弃的小努力你好：


对于期权来说，因为期权的价值=intrinsic value + time value，并且在到期之前time value都是大于等于0的，所以期权的价值都是大于intrinsic value的，这是期权的下限。

而对于看涨期权来说，long方就是约定未来以X的价格来购买标的资产的权利，假设现在市场上标的资产的价格是10块钱，那我是不可能以超过10块钱的价格来购买看涨期权的，因为这样的话还不如直接在市场上直接买这个资产，所以这就决定了看涨期权的价格上限是不能超过 St的。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

  • 1

    回答

  • 0

    关注

  • 140

    浏览
相关问题

NO.PZ2023040401000080 问题如下 Suppose the strike priof a one-yecall option is CA00, the risk free rate is 2%. time 0, the unrlying asset, S0, tras CA8, now six months have passe the unrlying asset, St, tras CA02. Whiof the following calculations of the upper anlower boun of the call option is correct? A.The upper bounof the call option is CA02; the lower bounof the call option is 0. B.The upper bounof the call option is CA02; the lower bounof the call option is CA.9852. C.The upper bounof the call option is CA.9852; the lower bounof the call option is 0. ct,Lowerboun= Max(0, St − X(1 + r)−(T−t)) = M(0, 102 – 100(1+2%)-0.5)= CA.9852ct,Upperboun= St = CA02. upper/lower boun of the call option是价值还是价钱？

2024-08-27 14:48 1 · 回答

NO.PZ2023040401000080 问题如下 Suppose the strike priof a one-yecall option is CA00, the risk free rate is 2%. time 0, the unrlying asset, S0, tras CA8, now six months have passe the unrlying asset, St, tras CA02. Whiof the following calculations of the upper anlower boun of the call option is correct? A.The upper bounof the call option is CA02; the lower bounof the call option is 0. B.The upper bounof the call option is CA02; the lower bounof the call option is CA.9852. C.The upper bounof the call option is CA.9852; the lower bounof the call option is 0. ct,Lowerboun= Max(0, St − X(1 + r)−(T−t)) = M(0, 102 – 100(1+2%)-0.5)= CA.9852ct,Upperboun= St = CA02. 这题的知识点是在哪儿，与期权二叉树估值有关系吗，

2023-09-10 12:09 2 · 回答