问题如下:
Is it true that the expected payoff of the derivative can be discounted at the risk-free rate plus a risk premium?
选项:
A. No, because a conbination of a derivative and the underlying can produce a risk-free asset.
B. Yes, because most investors are risk averse, they require a risk premium.
C. No, because most investors are risk neutrality, they do not need a premium.
解释:
A is correct. The expected payoff of the derivative can be discounted at the risk-free rate, because a derivative can be combined with an asset to produce a risk-free position and the derivative price can be obtained by assuming that the investor is risk neutral.
C is incorrect because most investors are risk averse, however the investor's risk aversion does not affect the derivative price.
能否请老师解答一下整个题目。为什么risk free rate+risk premium 不对?和各个选项有什么关系?