NO.PZ2023040401000079
问题如下：
A European put option with six months remaining to maturity has an exercise price (X) of USD 48. Suppose the underlying stock has no additional cash flows, the risk-free rate is 2%, the current underlying price (St) is USD 54. If the current put option price is USD 4.6, Which of the following calculations of the exercise value and the time value is correct?
选项：
A.The exercise value of the put option is 0;The time value of the put option is USD 4.6.
The exercise value of the put option is 4.6; The time value of the put option is USD 0.
The exercise value of the put option is 0；The time value of the put option cannot be calculated.
解释：
Put option exercise value = Max (0, X(1 + r)−(T−t) − St)
= Max (0, 48(1 + 2%)−0.5 − 54) = 0
Put option time value = pt – Max (0, X(1 + r)−(T−t)
− St) = 4.6-0 = USD 4.6.
time value为什么等于期权费啊，
value的计算不算期权费，profit or loss是在value的基础上算上期权费。
