问一道题：NO.PZ201702190300000309 第9小题 [ CFA II ]

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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：

Reason 1 only

Reason 2 only

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.

如果不是利率二叉树，而是股票二叉树，风险中性概率是否也不受X影响？计算公式里没有涉及X

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WallE_品职答疑助手 · 2021年05月19日

嗨，从没放弃的小努力你好：

不受，股票二叉树里面p=(1+rf-d)/(u-d) q=1-p 向上向下的概率都不受到x的影响。

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NO.PZ201702190300000309问题如下 Whiof Sousa’s reasons for the crease in the value of the interest rate option is correct? A.Reason 1 only B.Reason 2 only C.Both Reason 1 anReason 2 A is correct. Reason 1 is correct: A higher exercise pries lower the exercise value (payoff) Time 2. Reason 2 is not correbecause the risk-neutrprobabilities are baseon the paths thinterest rates take, whiare terminethe market annot the tails of a particuloption contract.中文解析根据c=max{0,ST -X}可知，当行权价越高，看涨期权的行权价值越低；且期权的行权价值与风险中性概率无关。因此只有表述1正确，选Rocha asks Sousa why the value of a similin-the-money interest rate call option creases if the exercise priis higher. Sousa provis two reasons.Reason 1 The exercise value of the call option is lower.Reason 2 The risk-neutrprobabilities are change我的翻译R询问了S为什么，如果执行价格变高的话，一个相似的in-the-money的利率call option会下降的原因。第一个理由执行价格变低了。Whiof Sousa’s reasons for the crease in the value of the interest rate option is correct?A Reason 1 onlyB Reason 2 onlyC Both Reason 1 anReason 2哪一个关于call option价格下降的原因是正确的。解答根据c=max{0,ST -X}可知，当行权价越高，看涨期权的行权价值越低。 →这句话我没有异议。我疯了……黄色部分的解答这句话我没有异议。但是给出的第一个理由，也就是紫色highlight的两句话，执行价格是变低啊，变低的话，call option的价格是上涨啊……那怎么会是call option下降的原因呢？？？然后这不明显和题目里这剧执行价格变高相违背吗？我凌乱了……

2022-05-14 16:38 1 · 回答

NO.PZ201702190300000309 Rocha asks Sousa why the value of a similin-the-money interest rate call option creases if the exercise priis higher. Sousa provis two reasons. Reason 1 The exercise value of the call option is lower. 我没看明白她问的什么意思。谢谢。

2021-09-02 23:56 1 · 回答

NO.PZ201702190300000309 为什么reason2不正确？没有看明白

2021-07-24 20:00 1 · 回答

NO.PZ201702190300000309 是不是对于利率二叉树来说，风险中性概率pai-u ,pai-也不一定恒等于0.5，讲义中的例子仅看成是一种特例？

2021-04-26 22:46 2 · 回答

问一道题：NO.PZ201702190300000309 第9小题 [ CFA II ]

1 个答案

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