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尼克内姆 · 2020年03月29日

问一道题:NO.PZ2016031201000048 [ CFA I ]

问题如下:

An at-the-money American call option on a stock that pays no dividends has three months remaining until expiration. The market value of the option will most likely be:

选项:

A.

less than its exercise value.

B.

equal to its exercise value.

C.

greater than its exercise value.

解释:

C is correct.

Prior to expiration, an American call option will typically have a value in the market that is greater than its exercise value. Although the American option is at-themoney and therefore has an exercise value of zero, the time value of the call option would likely lead to the option having a positive market value.

这是我自己写的的推到过程,请问下,对不对

1 个答案

xiaowan_品职助教 · 2020年03月29日

嗨,从没放弃的小努力你好:


同学你好,这道题思路是这样的,一个不分红的美式期权call,不会提前行权,和欧式是一样分析,

option value = intrinsic value(exercise value) + time value, intrinsic value =0,time value>0

所以option value>exercise value。

你的推导前半部分是不需要的,而且ATM是指现在的时间现货价格=执行价格,但是现货价格是会变化的,并不能推导出T时刻ST仍然等于执行价格哈。


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