Option value

[darshang3]

Hi david...

As interest rate increases the value of call increases and he value of put decreases.........

can u tell me how interest rate can change the option values....

 

[syaiful]

Hi Darshang, :lol:

Simply just use Put-Call-Parity

 

[David Harper CFA FRM]

Exactly, or you can even use the minimum value (lower bound) to recall the impact of interest rate, which is often useful:

c = S - K*e^(-rT); i.e., the value if vol = 0