NO.PZ2023041003000047
问题如下：
Weber states:
“Alternatively, we could consider options on the Eurodollar futures, which are
an actively traded Libor- based derivative contract reflecting the three- month
Libor rate anticipated on the settlement date of the contract. Two consecutive
three- month contracts can be combined to hedge interest rates for a period of
six months, and both American- and European- style options are traded. What
valuation model would you apply to these options?”
Franco replies:
“The Black model can be used to value options on the Eurodollar future. In this
model, futures options have two components: a futures component and a bond
component. When hedging against rising interest rates, according to the Black
model, the Eurodollar futures option used can be viewed as the futures
component minus the bond component.”
Franco’s
description of the Black model’s approach to valuation of Eurodollar futures
options used for hedging is:
选项：
A.
correct.
B.
incorrect, because he is describing a call option.
C.
incorrect, because he is describing a put option.
解释：
Franco is
incorrect because he describes a long call option, which according to the Black
model can be viewed as the futures component minus the bond component. Long put
options hedge against rising interest rates. The Black model evaluates put
options as the bond component minus the futures component.
A is incorrect.
The statement is incorrect.
C is incorrect.
The Black model evaluates put options as the bond component minus the futures
component.
为什么long put option against 利率上涨？这是利率期货 不看债券价格吧 就只看利率方向啊？相当于 long call option on Libor 这样就把风险对冲掉了。哪里可以看出来风险就是债券价格下跌？哪里有债券？
