投资学课后习题答案Chap021.pdfVIP

CHAPTER 2 1: OPTION VALUATION CHAPTER 21: OPTION VALUATION PROBLEM SETS 1. The value of a put option al o increa e with the volatility of the tock. We ee thi from the put-call parity theorem a follow : P = C – S + PV(X) + PV(Dividend ) 0 Given a value for S and a ri k-free intere t rate, then, if C increa e becau e of an increa e in volatility, P mu t al o increa e in order to maintain the equality of the parity relation hip.