题目
You are looking at two options on a non-dividend paying stock that are identical in all respects except one is a European put and the other is a European call option. If the assumed volatility of the stock price increases:
选项
A.The call will increase more than the put in value.
B.The put will increase more than the call in value.
C.The call will increase, but the put will decrease in value.
D.The call and the put will increase equally.
答案
D
解析
In order for the Put-Call parity relationship to hold, the value of the call and the put must change equally. Since call and put values are both positively related to the underlying stock's price volatility, both options will increase in value. Another way to see this is to note that the vega of a European call and the vega of the comparable put are equal.为了保持买卖权平价关系，看涨期权和看跌期权的价值变化幅度必须一样。由于看涨期权和看跌期权的价值都与标的股票的价格波动呈正相关，因此这两种期权的价值都会增加。另一种方法是注意欧式看涨期权的Vega和一个可比较的看跌期权的Vega是相等的。