NO.PZ2023041003000055
问题如下：
“With respect to the
Black–Scholes–Merton model, can you explain how the risk-free rate, time to
expiration, and volatility affect European option prices?”
In answer to
Moyle’s question, Iacocca states, “Higher risk-free rates result in lower call
and put option prices. Longer times to expiration result in higher call prices,
but the impact on put prices is unclear. Higher volatility results in higher
call and put option prices.”
With
respect to Moyle's question about the impact of selected inputs on the price of
options, Iacocca is least likely correct about:
选项：
A.volatility.
time to expiration.
the risk-free rate.
解释：
Iacocca is
incorrect about the risk-free rate. Higher risk-free rates result in higher
call option prices and lower put option prices. She is correct about the impact
of time to expiration and volatility on put and call option prices.
这个表达准确吗？
