問題詳情
13.某一籃子買權 (Basket Options) 到期時的收益為 Max( S1＋S2 － K, 0 )，其中 Si, i=1,2 表示第i 檔股票的到期股價。在其他條件不變下，相關係數與一籃子買權價格的關係，下列敘述何者正確？
(A)相關係數越高，一籃子買權的價格越高
(B)相關係數越低，一籃子買權的價格越高
(C)相關係數為 0 時，一籃子的價格最高
(D)一籃子買權價格與相關係數無關
(A)相關係數越高，一籃子買權的價格越高
(B)相關係數越低，一籃子買權的價格越高
(C)相關係數為 0 時，一籃子的價格最高
(D)一籃子買權價格與相關係數無關
參考答案
答案：A
難度：適中0.5
統計：A(0),B(0),C(0),D(0),E(0)
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