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Glanda · 2020年09月09日

问一道题:NO.PZ2016031201000041

问题如下:

The table below shows three European call options on the same underlying:

The option with the highest value is most likely:

选项:

A.

Option 1.

B.

Option 2.

C.

Option 3.

解释:

B is correct.

The value of a European call option is inversely related to the exercise price and directly related to the time to expiration. Option 1 and Option 2 have the same exercise price; however, Option 2 has a longer time to expiration. Consequently, Option 2 would likely have a higher value than Option 1. Option 2 and Option 3 have the same time to expiration; however, Option 2 has a lower exercise price. Thus, Option 2 would likely have a higher value than Option 3.

从公式角度来讲不是T越大,vlue越小么?时间长了的话价格有上升也有下降的可能啊,不能单纯只考虑上升的可能吧?而且这道题里面1和2只相差3个月。麻烦解答一下。

1 个答案

丹丹_品职答疑助手 · 2020年09月09日

嗨,从没放弃的小努力你好:


同学你好,老师课上又讲,到期时间越长,value越高,因为持有的时间成本越高,同学可以理解为不确定性更大需要更多的补偿。


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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!