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natalie2003 · 2020年11月29日

问一道题:NO.PZ201702190300000309

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问题如下:

9.Which of Sousa’s reasons for the decrease in the value of the interest rate option is correct?

选项:

A.

Reason 1 only

B.

Reason 2 only

C.

Both Reason 1 and Reason 2

解释:

A is correct.

Reason 1 is correct: A higher exercise price does lower the exercise value (payoff) at Time 2. Reason 2 is not correct because the risk-neutral probabilities are based on the paths that interest rates take, which are determined by the market and not the details of a particular option contract.

老师您好,exercise value=S-X/X-S 这个是约定俗成的表达么?

1 个答案

xiaowan_品职助教 · 2020年11月30日

嗨,努力学习的PZer你好:


同学你好,

exercise value就是指如果这个期权立刻执行,获得的收益是多少,所以对于call来说就是S-X,put就是X-S,是根据期权的性质决定的。


-------------------------------
努力的时光都是限量版,加油!


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