标题: simple options question [打印本页]

---

作者: chunty    时间: 2011-7-11 19:23     标题: simple options question

hey guys, can someone please answer this simple options question

if i have a call option on ONE YEAR LIBOR with a strike of 3%
at expiry LIBOR is 4%
notional principle=$1


do i get $0.01 one year after the option expired

or will i get the PV of the 0.01 at expiry ?

i guess i would be indifferent, but which one actually happens ?

---

作者: scarecrow    时间: 2011-7-11 19:23

u get the pv of protit discounted at the prevailing rate...

---

作者: stalkey    时间: 2011-7-11 19:23

Don't you get that $0.01 one year after expiry, but if you want to know the PV of that today then discount it back to today at today's discount rate?

---

欢迎光临 CFA论坛 (http://forum.theanalystspace.com/)

Powered by Discuz! 7.2