Re: [問題] 關於期權定價的問題
看板CFAiafeFSA (精算師/基金經理人/銀行家)作者icene (kkk)時間20年前 (2005/08/13 15:29)推噓0(0推 0噓 0→)留言0則, 0人參與討論串3/3 (看更多)
※ 引述《whabcdefg (wh)》之銘言：
: it is about option pricing,
: how to interpret the following statement intuitively not quantitatively:
: the higher the call price the higher interest rate
: while the lower the put price the higher the interest rate
: 3x all
K is excercise price at maturity time
K*e^(-r*t) use interest rate to discount K to now
when r is higher then K is lower
and call = max(s-k,0) more valuable , put=max(k-s,0) less valuable.
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