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Frances · 2024年08月27日

lower bounds of the call option

  1. CFA I
  2. Derivative

NO.PZ2023040401000080

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：

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.

upper/lower bounds of the call option是价值还是价钱？

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1 个答案

李坏_品职助教 · 2024年08月27日

嗨，爱思考的PZer你好：


指的是期权的价值value（价值）的上下限。


合理定价的期权，其价格（期权费）应该等于价值，但实际上期权的价格往往不等于价值，这就可能存在一定的套利空间。

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