题目
A non-dividend-paying stock with a current price of $40.00 and a volatility of 30.0% per annum when the risk-free rate is 4.0%. Consider a one-year barrier option with a barrier, H =$43.00, and a strike price, K = $45.00. Please note that the corresponding regular (i.e., without the barrier) put option price is $6.75. Which of the following instances of this barrier option has the LOWEST price?
选项
A.Knock-in call
B.Knock-out call
C.Knock-in put
D.Knock-out put
答案
B
解析
Knock-out call has a price of zero; it will get knocked out at $43.00 before it reaches the strike price of $45.00. Each of the other barrier options here has at least some positive (non-zero) value.knock out call：障碍线是43，执行价是45，而现在股票价格是40，一旦高于43，这个期权就失效了，而且永远无法行权。所以这个期权就没有存在的意义。价值为0 而incall，input，都是在触及障碍线才会生效。所以价值至少为0. 而output：说明高于43失效。这证明在没有达到43时，是有效的。PUT可以以45行权，所以是存在价值的。