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404 not found · 2024年06月03日

the same value只是和特殊的一个可能吧

NO.PZ2023040401000072

问题如下:

A European call option and a European put option are written on the same underlying, and both options have the same expiration date and exercise price. At expiration, it is possible that both options will have:

选项:

A.

negative values.

B.

the same value.

C.

positive values.

解释:

B is correct. If the underlying has a value equal to the exercise price at expiration, both options will have zero value since they both have the same exercise price. For example, if the exercise price is $25 and at expiration the underlying price is $25, both the call option and the put option will have a value of zero. The value of an option cannot fall below zero. The holder of an option is not obligated to exercise the option; therefore, the options each have a minimum value of zero. If the call has a positive value, the put, by definition, must have a zero value and vice versa. Both cannot have a positive value.

 If the underlying has a value equal to the exercise price at expiration......答案只是探讨了当X被准确定价时候call option和put option的value是一样的。但option这种工具之所以有交易意义,绝大多数时候St和X的价格有差异。

Value c = St - max(0, X);Value p = max(0,X) - St,所以他们的价值应该是相反的呀——即当St>X的时候,call的value是St - X,put的value是0;当St<X的时候,call的value是0,put的value是X - St;

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李坏_品职助教 · 2024年06月03日

嗨,爱思考的PZer你好:


是的 这是一种特殊情况。


这道题题干最后问的是"both options will have",意思是“call和put”价值都有可能是什么数?

只有标的资产价格 = X的时候,call 和put在到期日都是value = 0,这样才能达到题目的要求。


一般情况下call和put价值是不相等的。

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