raulnho · 2019年11月03日
问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
老师，C选项对于put option成立吗？对于put option，value=Max(0,X-St/e^δ*t),假设分红变大（趋近于无限大），St/e^δ*t→0，put option的价值趋近于X。因此对于ITM的put option，价值变动量是从原始的数值（因为是ITM，所以这个值肯定大于0）变动到最大的X；而对于OTM的put option，价值变动量是从0变动到X，因此，对于put option来说，当dividend无限增大时，OTM价值变动绝对值>ITM价值变动的绝对值。
NO.PZ2016082404000032问题如下 Ms. Zheng is responsible for the options sk in a Lonn bank. She is concerneabout the impaof vin on the options helthe options sk. She asks you to assess whioptions are the most sensitive to vinpayments. Whwoulyour answer if the value of the options is founusing the Black-Scholes mol austefor vin? Everything else equal, out-of-the-money call options experiena larger crease in value thin-the-money call options expectevin increase. The increase in the value of in-the-money put options causeincrease in expectevin is always larger ththe crease in value of in-the-money call options. Keeping the type of option constant, in-the-money options experienthe largest absolute change in value anout-of-the-money options the smallest absolute change in value expectevin increase. Keeping the type of option constant, at-the-money options experienthe largest absolute change in value anout-of-the-money options the smallest absolute change in value a result of vinpayment. ANSWER: COTM call options are not very sensitive to vin, so answer A is incorrect. This also shows thITM options have the highest ρ∗\rho\astρ∗ in absolute value. 什么呢？想不明白
NO.PZ2016082404000032问题如下 Ms. Zheng is responsible for the options sk in a Lonn bank. She is concerneabout the impaof vin on the options helthe options sk. She asks you to assess whioptions are the most sensitive to vinpayments. Whwoulyour answer if the value of the options is founusing the Black-Scholes mol austefor vin? Everything else equal, out-of-the-money call options experiena larger crease in value thin-the-money call options expectevin increase. The increase in the value of in-the-money put options causeincrease in expectevin is always larger ththe crease in value of in-the-money call options. Keeping the type of option constant, in-the-money options experienthe largest absolute change in value anout-of-the-money options the smallest absolute change in value expectevin increase. Keeping the type of option constant, at-the-money options experienthe largest absolute change in value anout-of-the-money options the smallest absolute change in value a result of vinpayment. ANSWER: COTM call options are not very sensitive to vin, incatein Figure, so answer A is incorrect. This also shows thITM options have the highest ρ∗\rho\astρ∗ in absolute value.应该是哪个字母的考察
老师你好，请问A该怎么分析，错在哪里了呢？谢谢
看了下之前的解析都是说分红影响S，因此分析lta。但答案中图片是Rho，能否从这个角度讲一下呢？谢谢
