NO.PZ202208260100000703
问题如下：
VFO is considering a sold call strategy to generate income from the sale of a call. In your scenario analysis of the sold call option alternative, VFO has asked you to value the call option in three months' time if Biomian's spot price is INR 325 per share. Given an estimated call price of INR 46.41 at that time, which of the following correctly reflects the relationship between the call's exercise value and its time value?
选项：
A.The call's exercise value is INR 24.16, and its time value is INR 22.25.
B.The call's exercise value is INR 27.10, and its time value is INR 19.31.
C.The call's exercise value is INR 20.99, and its time value is INR 25.42.
解释：
Solution
B is correct.
The option price is equal to the sum of the exercise value and the time value. A call option's exercise value is equal to the greater of zero and the spot price minus the present value of the exercise price:
Max(0, St−X(1+r)−(T−t))= Max(0, INR325 − INR300.84(1.04)-0.25)= INR27.10
The time value is equal to the call price minus the exercise value, or INR 19.31 (= INR46.41 − INR27.10). A is incorrect as it takes the spot price minus the exercise price as the exercise value, while C calculates the exercise value as the present value of the spot price minus the exercise price.
中文解析
本题考察的是期权的exercise value以及time value。
需要注意的是本题中虽然为了对冲股价下跌的风险，采取的关于call的策略是short call。但根据选项的数字可知，本小题中就long call来做分析的。
Long call的执行价格，直接根据公式计算即可：Max (0, St − X(1 + r)−(T−t) ).
然后再根据Option price = exercise value + time
value，计算time value即可。
老师请问T-t 为什么是3/12而不是9/12啊？
