求问frm2012 practice exam的一道题

huang-10han

19. Sam seek has a small portfolio of options, since the options are currently in the money, he is considering the possibility of any early exercise. Which of the following is correct.
A. It is never optimal to exercise European call option early
B. it is best to exercise a put option when it is just in the money
C. Early exercise of put option become more attractive when interest rate rise
D. Early exercise of put option become more attractive when interest rate decline

Answer: c
I choose d
谁能好心帮忙解释一下么？谢谢啦~

oliyana472

我想大概是：
先解释c。利率越高，put option 价值越小（因为利率越高，通过股票期货价值公式可知，未来股价的期望值越高），由于今天early exercise就是放弃put option得到intrinsic value（是已知数），放弃的put option价值越小，early exercise放弃的东西越少，自然使early exercise become more attractive。

d不对，是因为与c相反。
a不对，是因为european call option不能early exercise，否则就不是european option
b不对，是因为just in the money时early exercise 得到的pay-off(即intrinsic value）刚刚>0，一般不合算。