NO.PZ2018062007000034
问题如下:
Is it possible that a European call and a European put option have the same value at expiration? Assume both options have the same underying, expiration date and exercise price.
选项:
A.No, because one has positive value, the other must have negative value.
B.Yes
C.No, their intrinsic value must be different.
解释:
B is correct.
If the price of underlying is equal to the exercise price at expiration, both options will have zero value. The minimum value of option is zero, cannot have negative value.
中文解析:
如果标的资产的价格在到期日等于执行价格,那么欧式看涨和欧式看跌期权的价值都为0,所以题干中描述的场景是有可能发生的。
可以在到期日不行权么?