139****1719
2022-08-17 14:11Which of the following statements best describes a feature of an American option? Early exercise of an American: put option is optimal only if the underlying is dividend paying. call option is never optimal if the underlying is dividend paying. put option that is deep in the money may be optimal. 這道題為什么不能選a呢？老師不是講說會分紅的American put會提前行權(quán)嗎
所屬：CFA Level I > Derivatives 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Evian, CFA助教
2022-08-18 10:34
該回答已被題主采納
ヾ(?°?°?)??你好同學(xué)，
A說的太絕對了，及時在分紅之后，S下跌，看跌期權(quán)不一定是深度價內(nèi)
題目解析：
C. For a deep-in-the-money put option, early exercise may be optimal because the additional upside is limited. A is incorrect because the fact that the underlying is dividend paying does not justify early exercise in the case of a put option. B is incorrect because early exercise of a call option may be beneficial if a sufficiently high dividend can be captured.
是否分紅，結(jié)果是股票價格S是否下降
如果分紅，股票價格下跌，看跌期權(quán)IV=Max[0, X-S]上漲，投資者肯定是開心的，由于put option有收益上限（IV最大是：X-S=X-0=X），當(dāng)投資者認(rèn)為值得的時候，可以提前行權(quán)（美式）
如果不分紅，IV不變
----------------------
學(xué)而時習(xí)之，不亦說乎??【點贊】鼓勵自己更加優(yōu)秀，您的聲音是我們前進的源動力，祝您生活與學(xué)習(xí)愉快!~
0
0
1
1
