周同學(xué)
2025-02-20 21:18看漲期權(quán)的價值下限（假設(shè)標的為歐式不分紅），價值下限不是0-PV(K);未來價格下跌到執(zhí)行買入價以下，看漲期權(quán)就不會行權(quán)，相當于就沒有價值了啊（就應(yīng)該為0），然后原本可以用來投資的錢，之前用來買看漲期權(quán)了，所以應(yīng)該減掉投資折現(xiàn)收益，所以看漲期權(quán)的下限（歐式不分紅）應(yīng)該是-PV(k)啊
所屬：FRM Part I > Financial Markets and Products 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
2個回答
180****8696
2025-02-22 13:07
該回答已被題主采納
The minimum value of a European call option (assuming no dividends) is theoretically 0, not
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?PV(K), because if the underlying asset's price falls below the strike price, the option won't be exercised and has no intrinsic value. While the initial premium paid for the option represents an opportunity cost (i.e., the return you could have earned by investing elsewhere), it doesn't affect the option's minimum value, which reflects the intrinsic value (if any) and potential future price movements. The option's value is determined by the present value of expected future payoffs, discounted by the risk-free rate, and cannot be negative. Thus, the lower limit is 0, as the option will not provide negative value regardless of the opportunity cost or discounting of the strike price.
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黃石助教
2025-02-24 09:37該回答已被題主采納
同學(xué)你好。上面這位同學(xué)的回答寫的很好，可以以此為準。
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