NO.PZ2025040202000082
问题如下:
Under the Black–Scholes–Merton option valuation model, for equity options with an exercise price equal to the current stock price, an increase in a stock's dividend yield will:
选项:
A.A.lower the value of a call option and lower the value of a put option. B.B.lower the value of a call option and raise the value of a put option. C.C.lower the value of a put option and raise the value of a call option.解释:
A Incorrect because carry benefits will
have the effect of lowering the expected future value of the underlying. The
carry benefit adjusted BSM model can be described as having two components, a
stock component and a bond component. For call options, the stock component is
Se–γTN(d1) and the bond component is again e–rTXN(d2).
For put options, the stock component is Se–γTN(–d1) and
the bond component is again e–rTXN(–d2). Although both d1 and
d2 are reduced by carry benefits, the general approach to
valuation remains the same. An increase in carry benefits will lower the value
of the call option and raise, not lower, the value of the put option.
B Correct because
carry benefits will have the effect of lowering the expected future value of
the underlying. The carry benefit adjusted BSM model can be described as having
two components, a stock component and a bond component. For call options, the
stock component is Se–γTN(d1) and the bond component is
again e–rTXN(d2). For put options, the stock component is
Se–γTN(–d1) and the bond component is again e–rTXN(–d2).
Although both d1 and d2 are reduced by carry
benefits, the general approach to valuation remains the same. An increase in
carry benefits will lower the value of the call option and raise the value of
the put option.
C Incorrect because carry benefits will
have the effect of lowering the expected future value of the underlying. The
carry benefit adjusted BSM model can be described as having two components, a
stock component and a bond component. For call options, the stock component is
Se–γTN(d1) and the bond component is again e–rTXN(d2).
For put options, the stock component is Se–γTN(–d1) and
the bond component is again e–rTXN(–d2). Although both d1 and
d2 are reduced by carry benefits, the general approach to
valuation remains the same. An increase in carry benefits will lower, not
raise, the value of the call option and raise, not lower, the value of the put
option.
从公式上可以选出答案,但是逻辑上想不太明白