题目
Which two of the following four statements are correct about the early exercise of American options on non-dividend-paying stocks? I It is never optimal to exercise an American call option early. II It can be optimal to exercise an American put option early. III It can be optimal to exercise an American call option early. IV It is never optimal to exercise an American put option early.
选项
A.I and II
B.I and IV
C.II and III
D.III and IV
答案
A
解析
If the stock does not pay a dividend, the value of the American call option alive is always higher than if exercised (basically because there is no dividend to capture).Hence, it never pays to exercise a call early. On the other hand, exercising an American put early may be rational because it is better to receive the strike price now than later, with positive interest rates.无红利支付的美式看涨期权不会提前行权；无红利支付的美式看跌期权提前行权可能是最优的。