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:
A 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 : 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