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Summer · 2020年07月20日

问一道题:NO.PZ2016031201000048

问题如下:

An at-the-money American call option on a stock that pays no dividends has three months remaining until expiration. The market value of the option will most likely be:

选项:

A.

less than its exercise value.

B.

equal to its exercise value.

C.

greater than its exercise value.

解释:

C is correct.

Prior to expiration, an American call option will typically have a value in the market that is greater than its exercise value. Although the American option is at-themoney and therefore has an exercise value of zero, the time value of the call option would likely lead to the option having a positive market value.

老师你好,可以完整讲一下这道题么?

1 个答案

xiaowan_品职助教 · 2020年07月20日

嗨,努力学习的PZer你好:


同学你好,

这道题是说一个ATM美式看涨期权,没有分红,且距离到期日还有三个月,那么它的market value符合哪一个选项。

market value = time value + intrinsic value(即execise value),这个期权目前是ATM状态,execise value =0,而距离到期日还有3个月,time value>0,所以market value > 0 , 所以选C。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!


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