NO.PZ2018062007000036
问题如下:
At expiration, the value of a European put option is
选项:
A.Max(0, ST-X)
B.Max(0, X-ST)
C.the underlying price
解释:
B is correct.
The exercise value of a European put option is the greater of zero or the exercise price minus the value of the underlying.
中文解析:
如果执行价格大于到期时标的资产价格,那么欧式看跌期权的exercise value = X-ST,否则exercise value = 0。即value=Max(0,X-ST)
问题1: 为什么有的时候用Spot price 和 strike price 来判断两种期权的价值,而有的时候却要把Spot price折现后再判断期权价值?
【图一】
【图二】
问题2: C选项为何不对?