b********9
发帖数: 1 | 1 现在股价100.perpetual call option价值1块当股价为120时。请问这call option现在
价值多少？
多谢多谢 | j********t
发帖数: 97 | 2 Suppose interest rate is 0, call price is 100/120. | y****e
发帖数: 28 | 3 If the interest is zero, the price for the perpetual call option is the same
as the strike price since there exists a time in the future, the stock
price can reach almost zero with the geometrical Brownian motion assumption.
Under zero interest assumption, the price of the call option is the strike
price, irrelevant of the stock price. It should still be 1 dollar when the
stock price is 120 dollars.
On the other hand, if we are talking about non zero interest, and the
original question should be rephrased as:
The current stock price is 100 and the price of the perpetual call option **
*at the money*** is 1 dollar. If the stock price is 120, what is the price
of the perpetual call option ***at the money***?
The answer (100/120) given by Junorquant is correct.
【在 j********t 的大作中提到】
: Suppose interest rate is 0, call price is 100/120.
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