Exam (elaborations)
Klausuraufgaben
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e) Für die genannten Optionspreise gilt die Put-Call-Parität. Bestimmen Sie auf dieser Grundlageden risikolosen Zinssatz (diskrete Verzinsung). (4 Punkte)
Pt ct St x
=
-
+
i)+ t
49
4 3,25-50 +
=
(1 1105
+
49
50,75 =
(1 + 1)95
49
112-1
50,75
= i
i 0,0678 6,78%
-
= -
b -
f) Kann der
(1) Preis.
(2) innere Wert
(3) Zeitwert einer europäischen Verkaufsoption negativ sein?
Bitte begründen Sie Ihre Antworten. (3 Punkte)
Nein,esmind. denWet annehmen kanne
11 11
13) Nein, derGeitwert
kann nicht
negativ sein. Selbstwenn die
Option aus dem
G eld" ist und keiten hat,
inneren wert kann ihr
Zeitwertpositiv sein.
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