Fabozzi, CFAB is correct because when interest rates fall, the price of the embedded call option increases. Since, price of a callable bond = price of option-free bond – price of embedded call option, the price of the callable bond will not increase as much as an option-free bond ...
百度试题 题目What is the value of a call option A. $ B. $ C. $ D. $ E. $ 相关知识点: 试题来源: 解析 A. B. D. E. null 反馈 收藏
The fact that the option is deep in the money is not a reason for pricing differences between American and European call options. American call prices can differ from European call prices only if there are cash flows on the underlying.【释义】只有在标的资产产生现金流的情况下,美式看涨期权价格...
The price of a June call option with an exercise price of $50 falls by $0.50 when the underlying stock price falls by $2.00. The delta of a June put option with an exercise price of $50 is closest to:A. –0.75.B. –0.25.C. 0.25. 正确答案:A 分享到: 答案解析: The call option...
For a decline in interest rates, the price of a callable bond, when compared to an otherwise identical option-free bond, will most likely rise by:() A. less because the price of the embedded option rises. B. less because the price of the embedded option falls. C. more because the pri...
σis the standard deviation of continuously compounded annual returns of the stock, which is called volatility. Tis the time for the option to expire in years. ris the annualized risk-free interest rate. The price of a call optionCin terms of the Black–Scholes parameters is ...
BSM option pricing model uses , stock price, strike price, interest rate, volatility, and time to maturity to find the value of the call option.It is one of the different pricing models used for pricing options.Answer and Explanation: ...
When the volatility of the underlying decreases, the value of the option also decreases, meaning that the upper payoff value of the hedge portfolio combining them declines. However, the lower payoff value remains at zero.【释义】最初,看涨期权的行权价与标的资产市场价格相等,二叉树模型假设资产的...
Suppose that a stock sells at a price of $40 on the expiration date. Compute the price of a call option if the option strike price is $20.There are 2 steps to solve this one. Solution Share Here’s how to approach this question Calc...
For a higher exercise price, the opposite is true. Both the time to expiration and the volatility of the underlying are directly (positively) related to the value of a European call option.【释义】看涨期权只有突破执行价格才会赚钱,因此执行价格越高,看涨期权越便宜。B选项错误,对于看涨期权来说,...