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bunnymiss · 2020年02月24日

问一道题：NO.PZ2020021203000073 [ FRM I ]

  1. FRM I
  2. Financial Markets And Products

问题如下：

A seven-month call option pays dividends of USD 0.5 in three months and six months. The strike price is USD 40. Assume a constant risk-free rate of 8% per annum (annually compounded) for all maturities. Is it ever optimal to exercise the option before maturity? Explain.

解释：

It is only optimal to exercise immediately before a dividend payment. Immediately before the three-month payment, the option holder should wait, because there are three months until the next dividend payment and K - K* is greater than the dividend payment:

K−K∗=40−401.080.25=0.76>0.5K-K^\ast=40-\frac{40}{1.08^{0.25}}=0.76>0.5

Exercise can be optimal immediately before the six-month dividend payment because there is only one month to maturity and K - K* is less than the dividend payment:

K−K∗=40−401.081/12=0.26<0.5K-K^\ast=40-\frac{40}{1.08^{1/12}}=0.26<0.5

在三个月的时候不行权的话用执行价格折现应该是4/12个月份呀为什么答案用的3/12
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1 个答案

品职答疑小助手雍 · 2020年02月24日

同学你好，三个月的折现不就是3（个月）/12（个月）么

bunnymiss · 2020年02月24日

不是啊 还剩四个月

品职答疑小助手雍 · 2020年02月25日

哦哦，我明白你意思了，那个股利日确实是还有4个月，我跟后台反馈下，谢谢指出。

品职答疑小助手雍 · 2020年02月25日

额。。。不对，我刚又看了下，要折现的是到下一次股利支付日的时间，也就是3个月，不是4个月。所以还是应该折3个月的。

bunnymiss · 2020年02月25日

为什么折现到下次股利支付日呢

品职答疑小助手雍 · 2020年02月25日

因为当前是否行权和下次分配股利没关系啊。

bunnymiss · 2020年02月27日

为什么不是折现到到期日

品职答疑小助手雍 · 2020年02月27日

往到期日折的话不就和下次分配股利有关系了么

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NO.PZ2020021203000073问题如下A seven-month call option pays vin of US0.5 in three months ansix months. The strike priis US40. Assume a constant risk-free rate of 8% per annum (annually compoun for all maturities. Is it ever optimto exercise the option before maturity? Explain. It is only optimto exercise immeately before a vinpayment. Immeately before the three-month payment, the option holr shoulwait, because there are three months until the next vinpayment anK - K* is greater ththe vinpayment:K−K∗=40−401.080.25=0.76 0.5K-K^\ast=40-\frac{40}{1.08^{0.25}}=0.76 0.5K−K∗=40−1.080.2540​=0.76 0.5Exercise coptimimmeately before the six-month vinpayment because there is only one month to maturity anK - K* is less ththe vinpayment:K−K∗=40−401.081/12=0.26 0.5K-K^\ast=40-\frac{40}{1.08^{1/12}}=0.26 0.5K−K∗=40−1.081/1240​=0.26 0.5这里说annually compoun，怎么用e折现呢，e不是连续复利嘛？

2024-08-05 20:09 1 · 回答

NO.PZ2020021203000073 问题如下 A seven-month call option pays vin of US0.5 in three months ansix months. The strike priis US40. Assume a constant risk-free rate of 8% per annum (annually compoun for all maturities. Is it ever optimto exercise the option before maturity? Explain. It is only optimto exercise immeately before a vinpayment. Immeately before the three-month payment, the option holr shoulwait, because there are three months until the next vinpayment anK - K* is greater ththe vinpayment:K−K∗=40−401.080.25=0.76 0.5K-K^\ast=40-\frac{40}{1.08^{0.25}}=0.76 0.5K−K∗=40−1.080.2540​=0.76 0.5Exercise coptimimmeately before the six-month vinpayment because there is only one month to maturity anK - K* is less ththe vinpayment:K−K∗=40−401.081/12=0.26 0.5K-K^\ast=40-\frac{40}{1.08^{1/12}}=0.26 0.5K−K∗=40−1.081/1240​=0.26 0.5 为什么直接计算了3月和六月之间的？

2024-02-01 18:35 1 · 回答

NO.PZ2020021203000073问题如下 A seven-month call option pays vin of US0.5 in three months ansix months. The strike priis US40. Assume a constant risk-free rate of 8% per annum (annually compoun for all maturities. Is it ever optimto exercise the option before maturity? Explain. It is only optimto exercise immeately before a vinpayment. Immeately before the three-month payment, the option holr shoulwait, because there are three months until the next vinpayment anK - K* is greater ththe vinpayment:K−K∗=40−401.080.25=0.76 0.5K-K^\ast=40-\frac{40}{1.08^{0.25}}=0.76 0.5K−K∗=40−1.080.2540​=0.76 0.5Exercise coptimimmeately before the six-month vinpayment because there is only one month to maturity anK - K* is less ththe vinpayment:K−K∗=40−401.081/12=0.26 0.5K-K^\ast=40-\frac{40}{1.08^{1/12}}=0.26 0.5K−K∗=40−1.081/1240​=0.26 0.5请问这是基础课程哪一块的知识点

2023-03-09 09:04 2 · 回答

NO.PZ2020021203000073 看了之前的提问还是没有明白第一次股利计算折现时为什么用的是三个月而不是四个月

2021-10-17 17:31 1 · 回答

市场价格S0从哪得出？

2020-03-16 13:50 1 · 回答