NO.PZ201702190300000309
问题如下：
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.
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A。
Rocha asks Sousa why the value of a similar in-the-money interest rate call option decreases if the exercise price is higher. Sousa provides 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。
