美式買權提早執行問題 - 金融分析師
By Gilbert
at 2010-09-30T23:27
at 2010-09-30T23:27
Table of Contents
Call:European; Put:European
C=P+(St-K)-PV(Dividend)+K(1-e^(-r(T-t)))
early exercise will not be rational if PV(Dividend)<K(1-e^(-r(T-t)))
我的想法:
提早執行 選擇權價值max(0,St-k)
因此要不執行則必須C=P+(St-K)-PV(Dividend)+K(1-e^(-r(T-t)))>St-k
即P-PV(Dividend)+K(1-e^(-r(T-t)))>0
我想請問我的想法中多一個put
但study manuel沒有
我是對的嗎?
謝謝
--
C=P+(St-K)-PV(Dividend)+K(1-e^(-r(T-t)))
early exercise will not be rational if PV(Dividend)<K(1-e^(-r(T-t)))
我的想法:
提早執行 選擇權價值max(0,St-k)
因此要不執行則必須C=P+(St-K)-PV(Dividend)+K(1-e^(-r(T-t)))>St-k
即P-PV(Dividend)+K(1-e^(-r(T-t)))>0
我想請問我的想法中多一個put
但study manuel沒有
我是對的嗎?
謝謝
--
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金融分析師
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