第二次作业答案

第二次作业答案

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9.23 如下两图所示,绿色线为组合收益。 9.24 可以考虑,利用行业指数对高管期权的执行价格进行调整。 9.25 a. 内涵价格 32-30=2 b. 4.57-2=2.57 c. 时间价值是人们因为预期市场价格变动向自己有利的方向而愿意付出的代价,所以 当市场处于深度实值或者深度虚值状态时其时间价值为零,当市场处于深度实值状态时,市 场变动使其继续增加内涵价值的可能性极小,而使他减少内涵价值的可能性极大,因而人们 不愿意为了买入该期权并持有它而支付时间价值;当期权处于深度虚值状态时,人们认为其
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