NO.PZ2016031202000028
问题如下:
The at-the-money European call option has one month remaining until expiration, the market value of the option is most likely:
选项:
A.less than zero
B.equal to zero
C.greater than zero
解释:
C is correct. The exercise value of at-the-money option is zero, but market value is greater than zero because of time value.
中文解析:
at the money的期权其内在价值为0,由于期权的价值等于内在价值+时间价值,内在价值为0,而期权还有1个月到期,意味着时间价值大于0,所以期权价值就是大于0的
这里,time value 可以看成 option price?time value 是不是必须大于0?