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标题: interest rate and price of call/put options [打印本页]

作者: cartera 时间: 2008-5-25 13:45 标题: interest rate and price of call/put options

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

作者: 胡老师 时间: 2008-5-29 19:40

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.

作者: linna 时间: 2008-5-31 13:42

c

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