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Weike · 2024年03月12日

为什么不选C

  1. CFA I
  2. Derivative

NO.PZ2021061002000065

问题如下：

Suppose the strike price of a one-year call option is CAD100, the risk free rate is 2%. At time 0, the underlying asset, S0, trades at CAD98, now six months have passed, the underlying asset, St, trades at CAD102.

Which of the following calculations of the upper and lower bounds of the call option is correct?

选项：

A.

The upper bound of the call option is CAD102; the lower bound of the call option is 0;

B.

The upper bound of the call option is CAD102; the lower bound of the call option is CAD2.9852;

C.

The upper bound of the call option is CAD2.9852; the lower bound of the call option is 0;

解释：

中文解析：

计算如下：

ct,Lower bound = Max(0, St − X(1 + r)−(T−t) ) = Max (0, 102 – 100(1+2%)-0.5) = CAD2.9852

ct,Upper bound = St = CAD102

不是S-X和0之间的取最大值么，102怎么得到的

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2 个答案

李坏_品职助教 · 2024年03月13日

嗨，爱思考的PZer你好：


对，是这样的。

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李坏_品职助教 · 2024年03月12日

嗨，从没放弃的小努力你好：


你说的S-X和0之间的取最大值，那个是期权的payoff。


这道题问的是期权价格的upper和lower bounds(期权价格的上下限)参考讲义P190：

102就是题目给的underlying asset, St, trades at CAD102. （期权的基础资产的价格，简单来说就是股价）

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努力的时光都是限量版，加油！

Weike · 2024年03月13日

所有call option 最大上限是S，put option 最大上限是X么

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