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Avalon · 2024年10月14日

麻烦助教老师帮忙看下这题

* 问题详情,请 查看题干

NO.PZ202208260100000709

问题如下:

VFO is concerned about the potential for increasing interest rates in the future. Which of the following statements provides the most correct description as to how rising rates after entering into the two option strategies would affect the option valuations?

选项:

A.Rising risk-free rates would make the selling a call option strategy more advantageous to VFO because call options increase in value with higher risk-free rates.

B.Rising risk-free rates would make the buying a put option strategy more advantageous to VFO because the company locks in the put option premium at lower interest rates.

C.Rising risk-free rates are a negative for both option strategies.

解释:

C is correct. Because both option strategies (buy a put or sell a call) are short strategies, VFO is delaying cash inflows so higher risk-free rates are negative. A is incorrect as this statement describes the value effect from buying a call option, not from selling. B is incorrect as the locked-in premium will decline after rising risk-free rates.

那B选项怎么理解呢?lock a low rate怎么个锁定法

1 个答案

李坏_品职助教 · 2024年10月14日

嗨,努力学习的PZer你好:


题目说VFO现在非常担心未来利率上升,问你下列两种投资方式,在利率上升的情况下会如何变化:

  1. sell a call。无风险利率rf与call option是正相关的,利率上升会导致call option value变大,那么buy call的人会赚钱,反过来sell a call会亏钱。
  2. buy a put。无风险利率rf与put option是负相关的,利率上升会导致put option value变小,那么buy put的人会亏钱。

所以1和2都是亏钱的,选C。


B选项说的是错误的。B选项的意思是上升的利率会让buy a put变得有利可图,因为buy put的人在利率低的时候锁定了期权费成本。但问题是后续利率上升时,put的期权费成本还会下降,所以B错误。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!