NO.PZ2023041003000046
问题如下:
Franco comments: “I think
six-call options on the six-forward rate would probably be the cheapest solution.
The price of the European-style option can be evaluated as the present value of
the expected terminal option’s payoffs using the risk-adjusted periodic rate.
Franco’s
understanding of the valuation of the European style six-month call option is
most likely:
选项:
A.correct with respect to the payoffs and the discount rate.
correct with respect to the payoffs but incorrect
about the discount rate.
incorrect with respect to the payoffs but correct about the discount
rate.
解释:
According to the
expectations approach of options valuation, option values are simply the
present value of the expected terminal option payoffs (based on risk-neutral
probabilities) discounted at the estimated risk-free interest rate, rather than
the risk-adjusted periodic rate.
A is incorrect.
The stated discount rate is correct.
C.is incorrect.
The valuation method approach is correct.
这道题我是刷错题的时候遇到的,前后并没有提及到是BSM模型,该怎么判断?