关于美式期权的问题

求详细步骤解答~拜谢，中英文均可~~~~

Chemist_MZ 发表于 2013-10-13 21:08
very odd question, if you know you are to get nothing in the end, why do you not sell it or exercise ...

morning！O(∩_∩)O哈哈~我就等着你起床来着。

老师给的答案如下，我没有看太明白。

Chemist_MZ 发表于 2013-10-13 21:08
very odd question, if you know you are to get nothing in the end, why do you not sell it or exercise ...

In order that an American call option may be held optimally until expiry and expires
in-the-money, we must have S*(0+) > X and ST > X. When q  >=r, it is known
that
S*(0+) = max（1,r/q)X=X.

At time close to expiry, if the American call remains alive, then it must be out-of-
the-money. That is, the asset price at T = 0+ is less than X. If not, it should have
been exercised since S*(0+) = X. Hence, when q >= r, the American call that is
held optimally until expiry cannot expire in-the-money.

以上是老师给的答案，我没有看太懂。

Chemist_MZ 发表于 2013-10-13 21:08
very odd question, if you know you are to get nothing in the end, why do you not sell it or exercise ...

老师给的答案，但是我没有看太懂

Chemist_MZ 发表于 2013-10-13 21:08
very odd question, if you know you are to get nothing in the end, why do you not sell it or exercise ...

这是老师给的答案。
没有看懂~~~
特别是那个式子。求大神解答~~谢谢~

偶不知道这个怎么回事，好像版主大人的回复被吞了啊