首页 | 学习中心 | 注册 登录
返回列表 发帖
dmrktrading

Rank: 2

UID
223361 
帖子
250 
主题
41 
注册时间
2011-7-11 
最后登录
2014-8-4 
1# 跳转到 » 倒序看帖
打印
tT
发表于 2011-7-13 13:28 | 只看该作者

Few Doubts

can someone explain the following concepts,

1.Relationship between option price and risk free rate

2. Take or pay agreement

3. linear extrapolation and linear interpolation.

Thanks in advance.
收藏 分享

onelife1

Rank: 2

UID
223447 
帖子
344 
主题
22 
注册时间
2011-7-11 
最后登录
2016-4-18 
2#
发表于 2011-7-13 13:28 | 只看该作者
1. Higher the risk free rate, the higher the option price.

2. You either take the agreement or you pay the agreement.

3. Extrapolation, using the data to go beyond what has been plotted/historical. It is forward looking and beyond the scope of the data collected. Interpolation is using the historical data gather to make a relationship/regression.



I just made all those up, good luck.

TOP

tobeornottobe

Rank: 2

UID
223457 
帖子
298 
主题
1 
注册时间
2011-7-11 
最后登录
2014-8-7 
3#
发表于 2011-7-13 13:28 | 只看该作者
1. For employee stock options, higher the rf - higher the option price (since it's based on BSM). However, if we're talking Calls/Puts

Calls - Positive correlation to rf
Puts - Negative correlation to rf
(this is due to the discounting of the X factor in C+X = S+P)

TOP

luda002

Rank: 2

UID
223403 
帖子
404 
主题
29 
注册时间
2011-7-11 
最后登录
2014-8-2 
4#
发表于 2011-7-13 13:28 | 只看该作者
For #1
the Int rate affects the price of a put or call differently depending on if the underlying is an equity or a bond

An increase in the risk free rate would cause
a Call Option on an Equity to Increase and a Call Option on a Bond to decrease in value
a Put Option on a bond to increase and a Put Option on a Bond to increase in value

The other two I do not know.

Reggie-
If you're just making sh*t up don't post, it doesn't help anyone - it's not funny to mess others up in the hopes that it may help you to pass. Not very ethical IMHO.

TOP

economicz

Rank: 2

UID
223395 
帖子
345 
主题
9 
注册时间
2011-7-11 
最后登录
2016-4-19 
5#
发表于 2011-7-13 13:28 | 只看该作者
How am I messing him up if I told him I just made all those up? They were educated guesses and I was just informing him of that. Take or Pay agreements were learned and Level I and I'm sure can easily be found by type "take or pay agreements" into google. And #3 I learned in Grade 10 math at a public high school. Good luck FinNinja, I suggest you don't take your anger issues with you on exam day.

TOP

返回列表