[求助]关于利率对期权价格的影响

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<P>为什么利率上升,call option 的价格会上升, put option的价格则下降呢?</P> <P>&lt;options, futures, and other derivatives&gt;第九章讲到这里的时候提到了两个因素:</P> <P>1.对股价的期望回报上升</P> <P>2.期权拥有者收到的未来现金流的现在价值(present value)减低.</P> <P>不明白第二个对于期权价格有什么样的影响..希望大家能帮忙解答指点一下.</P> <P>或者有自己的看法,也非常欢迎..</P>

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关键词：derivatives Derivative options Present futures present option 现金流 影响 价值

mathematically, you need find the price formular of call and put and then take derivative of these formulars wrt interest rate, which is also called rho. You can see that rho(call) is positve standing for same direction movement between r and price of call.

Economicaly, if r is goes up, normally stock price goes up, then you have the results.

   I think zzrays made a slim mistake when he expained in terms of economic .

   In reality when r goes up , the spot price of stock will be lower but not higher. As what hull said ,present value will be lower ,thus the spot price is lower. However , when we use BS model . we tend to assume the spot price doesnt change , the further price SPOTPRICE* e^{rt  _{WILL  RISE THEN the price of the call option rises.}} in  other words the time value rises.

  I think that is the process how r affects option price .

[此贴子已经被作者于2008-7-17 18:17:45编辑过]

以下是引用1983yx在2008-7-17 13:01:00的发言：

   I think zzrays made a slim mistake when he expained in terms of economic .

   In reality when r goes up , the spot price of stock will be lower but not higher. As what hull said ,present value will be lower ,thus the spot price is lower. However , when we use BS model . we tend to assume the spot price doesnt change , the further price SPOTPRICE* e^{rt  _{WILL  RISE THEN the price of the call option rises.}} in  other words the time value rises.

  I think that is the process how r affects option price .

‘ In reality when r goes up , the spot price of stock will be lower but not higher. ’

where you got this?  I　believe that the time value will rise how do you explain the put?

1. the stock price is the total sum of the future cash flows , r reflects the discounted rate.

2.money will flow from stock markets to other markets

3the cost of the company will go up

In reality when r goes up , the spot price of stock will be lower but not higher. As what hull said ,present value will be lower ,thus the spot price is lower. However , when we use BS model . we tend to assume the spot price doesnt change , the further price SPOTPRICE* ert  WILL  RISE THEN the price of the call option rises.

I THINK THIS EXPLAINATION WOULD BE BETTER

THANKS FOR UR CORRECTION .

无风险利率是指期权交易中的机会成本（Opportunity Cost）。

    我们来看一下买入看涨期权和买入标的资产的区别。如果买入了看涨期权，只要先付定金（权力金）以后付款就可以，而买入现货要马上付款。也就是说相对于买入现货来说，买入看涨期权具有延迟付款的效果，那么利率越高对看涨期权的买方来说也就越有利，即随着利率的增加，看涨期权的价格随之增加。而买入看跌期权要比买入现货晚收到货款，所以看跌期权的价格随利率增加而减少。

一般来说，利率的提高通常会造成股票价格的下跌，然而机会成本的减少是否能弥补股票价格的下跌影响，不太清楚哎

如果你懂点期货的话这个问题就很容易理解了
假如一个股票现价100
利率5%
那么理论上1年后的合理价格是105
如果利率10%
那么理论上1年后的合理价格是110
你要把1年后的这个合约想象出来
期权是一个类似期货的标准化合约,只不过标的不同而已

包不同 发表于 2009-12-17 09:28
如果你懂点期货的话这个问题就很容易理解了
假如一个股票现价100
利率5%

我有一点不明白：不是利率与证券的价格负相关吗，怎么利率越高，股票的价格反而也增加了呢？