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· 2022年02月12日

看了老师的截图依然不明白为啥两个答案方向相反

NO.PZ2020021203000067

问题如下:

Does it become more likely that a put option will be exercised before maturity when (a) the interest rate increases and (b) the stock price increases?

选项:

解释:

(a) When interest rates increase, the put option will be more likely to be exercised before maturity because the value of investing the profit at the risk-free rate after selling the stock at the strike price is increased. (b) When the stock price increases, the put option will be less likely to be exercised because the payoff from doing so will be smaller.

根据李老师上课说的哪个FP=S0*(1+rf)^T的公式,一旦rf或者S0上涨,FP最终都会上升,但是

这里rf上升,提前行权——可以理解

S0上升,难道不应该也是提前行权?——答案说不会提前行权,不能理解

多谢指教~~

1 个答案

DD仔_品职助教 · 2022年02月12日

嗨,努力学习的PZer你好:


同学你好,

这里题目说的是put option,当到期日时的股票价格ST<执行价格X时才会行权。

b情况说的是股票正在价格上升,long put的这一方肯定不会提前行权,因为如果提前行权,有可能发生S大于K的情况,long put会有损失,此时long put的一方可能会赌一下,现在价格上升,但是说不定未来价格会下跌,所以目前股票价格上升,未来不可知,long put肯定不会提前行权,就算提前行权也是损失,还不如等到到期日那一天。


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