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