美式買權提早執行問題 - 金融分析師
By Caitlin
at 2010-10-01T00:07
at 2010-10-01T00:07
Table of Contents
我懂你的意思
上面有一條題目
An American call option has a strike price of 50.The risk free rate is 5%.
There are 2 months left to expiry.The present value of dividends over the 2
month period is D.
Determine the lowerest value of D such that exercising the option early
could be rational.
課本:D>K(1-e^-r(T-t))=50(1-e^-0.05*(2/12))=0.414935.
我的想法:D>K(1-e^-r(T-t))+Put(European)
所以根據題目沒辦法算出最小值
--
上面有一條題目
An American call option has a strike price of 50.The risk free rate is 5%.
There are 2 months left to expiry.The present value of dividends over the 2
month period is D.
Determine the lowerest value of D such that exercising the option early
could be rational.
課本:D>K(1-e^-r(T-t))=50(1-e^-0.05*(2/12))=0.414935.
我的想法:D>K(1-e^-r(T-t))+Put(European)
所以根據題目沒辦法算出最小值
--
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金融分析師
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