题目
It may be attractive to exercise an American put option prior to expiration when the underlying stock price is:
选项
A.close to the strike price and risk-free rates are positive.
B.above the strike price and risk-free rates are close to zero.
C.close to the strike price and risk-free rates are close to zero.
D.much lower than the exercise price and risk-free rates are positive.
答案
D
解析
It can be shown that American put options on non-dividend paying stocks may be exercised early if the underlying stock price is sufficiently low. The owner of the option would essentially receive the strike price, which is the maximum value of the option, and could reinvest the proceeds at the risk-free rate, which would generate a payoff received today as opposed to in the future.如果标的股票价格足够低，美式非分红股票的看跌期权可以在早期行使。期权持有者将获得执行价格，即期权的最大价值，并可以将收益以无风险利率进行再投资，这将产生今天收到的回报，而不是将来收到的回报。