靜同學(xué)
2023-11-13 15:50完全不懂這題是什么意思
所屬：CFA Level II > Derivatives 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Evian, CFA助教
2023-11-14 14:59
該回答已被題主采納
ヾ(?°?°?)??你好同學(xué)，
Messer answers, “We use the BSM model to calculate estimates on a wide array of comparative option variables, such as how much the option value will change for a change in a particular parameter. For example, we can estimate how the rate of change of an option price speeds up or slows down for a given change in the price of the underlying index.”
Messer concludes, “We also use the BSM model to calculate the implied volatility. The implied volatilities of the index options expiring in one year are shown in Exhibit 2.”（如上你給的截圖）
協(xié)會(huì)給的A選項(xiàng)感覺(jué)讀不通
應(yīng)該加兩個(gè)單詞：Usind out-of-the-money 【put】 options to hedoe is more expensive than establishind a lond position with out-of-the money 【call】 options. 這個(gè)題目超綱了
思路了解一下即可，這個(gè)知識(shí)點(diǎn)在三級(jí)衍生會(huì)學(xué)
假設(shè)Stock price不變，根據(jù)表格Exhibit 2的信息，對(duì)于call option而言，X↑，call處于OTM，對(duì)應(yīng)隱含波動(dòng)率越小，期權(quán)費(fèi)越便宜
假設(shè)Stock price不變，根據(jù)表格Exhibit 2的信息，對(duì)于put option而言，X↓，put處于OTM，對(duì)應(yīng)隱含波動(dòng)率越大，期權(quán)費(fèi)越貴
于是有了A選項(xiàng)說(shuō)OTM的put比OTM的cal
---------------------
投資更加優(yōu)秀的自己?? ~如果滿意回復(fù)可【采納】，仍有疑問(wèn)可【追問(wèn)】，您的聲音是我們前進(jìn)的源動(dòng)力，祝您生活與學(xué)習(xí)愉快!~
0
0
0
0
