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Ren_xy · 2018年10月20日

问一道题:NO.PZ2016031201000037 [ CFA I ]

问题如下图:

    

选项:

A.

B.

C.

解释:


能解释下 什么是 不同的time value 和 不同的 exercise value 吗? 什么时候会 positive negative or zero。 谢谢

1 个答案

菲菲_品职助教 · 2018年10月23日

同学你好,对于还没有到期的看涨期权,通常time value都是大于0的。至于期权的exercise value,因为现在股价是低于行权价格的,所以我们不行权,此时看涨期权的exercise value为0。只有当股价大于执行价格,行权了以后,看涨期权才会有一个positive的exercise value。不会存在negative的exercise value。

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