题目
Ms. Zheng is responsible for the options desk in a London bank. She is concerned about the impact of dividends on the options held by the options desk. She asks you to assess which options are the most sensitive to dividend payments. What would be your answer if the value of the options is found by using the Black-Scholes model adjusted for dividends?
选项
A.Everything else equal, out-of-the-money call options experience a larger decrease in value than in-the-money call options as expected dividends increase.
B.The increase in the value of in-the-money put options caused by an increase in expected dividends is always larger than the decrease in value of in-the-money call options.
C.Keeping the type of option constant, in-the-money options experience the largest absolute change in value and out-of-the-money options the smallest absolute change in value as expected dividends increase.
D.Keeping the type of option constant, at-the-money options experience the largest absolute change in value and out-of-the-money options the smallest absolute change in value as a result of dividend payment.
答案
C
解析
OTM call options are not very sensitive to dividends, so answer A is incorrect. This also shows that in the money options have the highest ρ× in absolute value.平价看涨期权对股息不是很敏感，因此答案A是不正确的。 这也表明，在货币期权中，绝对值具有最高的ρ。