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cartera

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tT
发表于 2008-5-25 13:45 | 只看该作者

interest rate and price of call/put options

anybody, question, increase, interest, 201
Hi

Does anybody know is there any effect on the price of call\put options where there is a increase of risk free interest rate?

thanks

PD I encountered this question:

The effects on the price of a call option from an increase in volatility and an increase in interest rates are:
  Increase in Volatility Increase in Interest Rates
 
A. Decrease Increase
 
B. Increase Increase
 
C. Increase Decrease
 
D. Increase No impact    

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胡老师

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2#
发表于 2008-5-29 19:40 | 只看该作者

波动率上升,期权价值上升.

至于利率,用CXSP这个公式来理解,可知利率上升, 看涨期权价值上升.

www.cfaspace.com

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linna

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3#
发表于 2008-5-31 13:42 | 只看该作者
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