NO.PZ2023040401000081
问题如下:
If the risk-free rate increases, the value of an in-the-money European put option will most likely:
选项:
A.
decrease.
B.
remain the same.
C.
increase.
解释:
A is correct. An in-the-money European put option decreases in value with an increase in the risk-free rate. A higher risk-free rate reduces the present value of any proceeds received on exercise.
v=X-St=X-X/(1+rf)T-t,rf变大,v不是变大吗?