问题如下图:
选项:
A.
B.
C.
解释:
call option的value=(丌u乘以c+再加上(1-丌u)乘以c-)/ (1+rf),so the call option 's value is affected by 丌,right?
NO.PZ201702190300000309问题如下 Whiof Sousa’s reasons for the crease in the value of the interest rate option is correct? A.Reason 1 only B.Reason 2 only C.Both Reason 1 anReason 2 A is correct. Reason 1 is correct: A higher exercise pries lower the exercise value (payoff) Time 2. Reason 2 is not correbecause the risk-neutrprobabilities are baseon the paths thinterest rates take, whiare terminethe market annot the tails of a particuloption contract.中文解析根据c=max{0,ST -X}可知,当行权价越高,看涨期权的行权价值越低;且期权的行权价值与风险中性概率无关。因此只有表述1正确,选Rocha asks Sousa why the value of a similin-the-money interest rate call option creases if the exercise priis higher. Sousa provis two reasons.Reason 1 The exercise value of the call option is lower.Reason 2 The risk-neutrprobabilities are change我的翻译R询问了S为什么,如果执行价格变高的话,一个相似的in-the-money的利率call option会下降的原因。第一个理由执行价格变低了。Whiof Sousa’s reasons for the crease in the value of the interest rate option is correct?A Reason 1 onlyB Reason 2 onlyC Both Reason 1 anReason 2哪一个关于call option价格下降的原因是正确的。解答根据c=max{0,ST -X}可知,当行权价越高,看涨期权的行权价值越低。 →这句话我没有异议。我疯了……黄色部分的解答这句话我没有异议。但是给出的第一个理由,也就是紫色highlight的两句话,执行价格是变低啊,变低的话,call option的价格是上涨啊……那怎么会是call option下降的原因呢???然后这不明显和题目里这剧执行价格变高相违背吗?我凌乱了……
NO.PZ201702190300000309 Rocha asks Sousa why the value of a similin-the-money interest rate call option creases if the exercise priis higher. Sousa provis two reasons. Reason 1 The exercise value of the call option is lower. 我没看明白她问的什么意思。谢谢。
NO.PZ201702190300000309 为什么reason2不正确?没有看明白
Reason 2 only Both Reason 1 anReason 2 A is correct. Reason 1 is correct: A higher exercise pries lower the exercise value (payoff) Time 2. Reason 2 is not correbecause the risk-neutrprobabilities are baseon the paths thinterest rates take, whiare terminethe market annot the tails of a particuloption contract.如果不是利率二叉树,而是股票二叉树,风险中性概率是否也不受X影响?计算公式里没有涉及X
NO.PZ201702190300000309 是不是对于利率二叉树来说,风险中性概率pai-u ,pai-也不一定恒等于0.5,讲义中的例子仅看成是一种特例?