Black Scholes

This topic has 1 reply, 2 voices, and was last updated 7 years ago by Ken Garrett.

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May 8, 2019 at 4:04 pm #515334
sureena
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Having a call option means purchases can be deferred. Hence when interest rates are high, the call option becomes more valuable as money left in the bank earns more interest.

How would this work in the case of a put option?
May 8, 2019 at 5:27 pm #515362
Ken Garrett
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A put option means that sales (and cash receipts) can be deferred. If interest rates are high, this means deferring earning more interest. Therefore, I think the option must become less valuable as interest rates rise.
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