NO.PZ2020021205000046
问题如下:
Use the binomial tree in Figure 14.7 of Chapter 14 to estimate the delta, gamma, and theta of the option选项:
解释:
The delta estimate is
=0.5330
For gamma, we calculate two deltas from the nodes at the end of the second time step. The delta from the upper nodes, where the average index is 2,662.863, is
= 0.7691
The delta calculated from the lower two nodes, where the average index is 2,355.911, is
= 0.2716
The estimate of gamma is
= 0.00162
The estimate of theta (per year) is
= -123.9
The estimate of gamma is
\frac{0.7691\;-\;0.2716}{2,662.863\;-\;2,355.911}
2,662.863−2,355.911
0.7691−0.2716
= 0.00162
The estimate of theta (per year) is
\frac{78.279\;-\;119.579}{0.3333}
0.3333
78.279−119.579
= -123.9