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tianjj0000 · 2020年03月05日

问一道题:NO.PZ2020021203000067

问题如下:

Does it become more likely that a put option will be exercised before maturity when (a) the interest rate increases and (b) the stock price increases?

选项:

解释:

(a) When interest rates increase, the put option will be more likely to be exercised before maturity because the value of investing the profit at the risk-free rate after selling the stock at the strike price is increased. (b) When the stock price increases, the put option will be less likely to be exercised because the payoff from doing so will be smaller.

请问,这道题目怎样用六个因素与价格正负相关的章节的内容来解释,Rf和S不都是与put options负相关吗?为何结果不同。

2 个答案

小刘_品职助教 · 2020年05月31日

XP同学你好,

这道题请以我之后的回答为准哈,不好意思,给你添麻烦了~

小刘_品职助教 · 2020年03月14日

临江仙同学,你好

感谢你的指正,我第一次的回答确实是有问题的,这道题与小伙伴们讨论了一下,期权价格方向的判断与是否执行期权之间还是有一定差距的,因为期权还有一个未来不确定性的价值,所以最好能从下面这个角度考虑比较严谨:

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NO.PZ2020021203000067 问题如下 es it become more likely tha put option will exercisebefore maturity when (the interest rate increases an(the stopriincreases? (When interest rates increase, the put option will more likely to exercisebefore maturity because the value of investing the profit the risk-free rate after selling the stothe strike priis increase (When the stopriincreases, the put option will less likely to exercisebecause the payoff from ing so will smaller. long put方的收益为(X-K)A情况,无风险利率上升,未来价格K上升,long put方的收益(X-K)会减少,所以更愿意行权B情况,股票价格上升,也就是现货价格上升,怎么分析long put方行权的意愿呢

2024-03-25 21:17 1 · 回答

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2023-03-02 16:46 3 · 回答

NO.PZ2020021203000067 根据李老师上课说的哪个FP=S0*(1+rf)^T的公式,一旦rf或者S0上涨,FP最终都会上升,但是 这里rf上升,提前行权——可以理解 S0上升,难道不应该也是提前行权?——答案说不会提前行权,不能理解 多谢指教~~

2022-02-12 02:40 1 · 回答

NO.PZ2020021203000067 这道题是采用6因素吗? 那r和put不是负相关吗,怎么答案反了? S和put是负相关,答案也对的上。

2021-03-06 23:23 1 · 回答