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DDAXC · 2019年11月06日

问一道题:NO.PZ2019070101000019

问题如下:

The value of a 6-month American call option is either $4.00 at maturity with a probability of 0.63 or $0 with a probability of 0.37, exercise price is $40. Current stock price is $45, and continuously compounded risk free-rate is 4%. Which of the following strategy can achieve maximum return:

I.   exercise the option, because the payoff from exercising the option is more than the present value of the expected future payoff.

II.  exercise the option, because the option is in-the-money.

III. not exercise the option

选项:

A.

Strategy I.

B.

Strategy II.

C.

Strategy III.

D.

None.

解释:

is correct.

考点:Other Issues

解析:对于美式看涨期权,现在行权可以获得$45-$40=$5,

如果现在不行权,未来预期收益的折现值为  : (4×0.63)+(0×0.37) e (0.04)×0.5 =$2.47,  所以应该现在行权。

为什么strategy2不对 现在S大于X 那就是In the money 现在行权合算啊

1 个答案
已采纳答案

品职答疑小助手雍 · 2019年11月07日

同学你好,这里行权时肯定的,2描述的原因不完全正确,应该是行权获益大于未来期望获益的现值时才会行权,不能只是in the money就行权。

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NO.PZ2019070101000019 问题如下 The value of a 6-month Americcall option is either $4.00 maturity with a probability of 0.63 or $0 with a probability of 0.37, exercise priis $40. Current stopriis $45, ancontinuously compounrisk free-rate is 4%. Whiof the following strategy cachieve maximum return:I. exercise the option, because the payoff from exercising the option is more ththe present value of the expectefuture payoff.II. exercise the option, because the option is in-the-money.III. not exercise the option A.Strategy I. B.Strategy II. C.Strategy III. None. is correct.考点Other Issues解析对于美式看涨期权,现在行权可以获得$45-$40=$5,如果现在不行权,未来预期收益的折现值为 : (4×0.63)+(0×0.37) e (0.04)×0.5 =$2.47, 所以应该现在行权。 1.现在行权的gain是5,期权价值低于5,这个我理解,但是美式看涨不是等待有价值么?2.那美式看涨怎么判断要不要行权,是不是一旦出现s-x大于c的现值,就应该行权,不要再等了?

2024-10-20 10:23 1 · 回答

The value of a 6-month Americcall option is either $4.00 maturity with a probability of 0.63 or $0 with a probability of 0.37,这块的VALUE指的是看涨期权的收益还是价值,如果是价值的话是不是可以理解成期权费?

2020-03-23 16:27 1 · 回答

未来预期收益怎么算

2020-03-23 16:21 1 · 回答

啥啥啥 不是说美式看涨不应该提前行权。。看跌可以提前行权吗?【建议卖掉不建议行权啥的?

2019-10-19 15:39 1 · 回答