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未命名 · 2021年07月24日

为什么reason2不正确?

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NO.PZ201702190300000309

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.

为什么reason2不正确?没有看明白解释

1 个答案

WallE_品职答疑助手 · 2021年07月25日

嗨,努力学习的PZer你好:


因为风险中性的概率等于(1+rf-d)/(u-d)/(u-d) ,他是与利率有关的,是由市场决定的,与option合约无关。所以option合约约定的执行价格的改变并不能改变风险中性概率。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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