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火星人 · 2022年08月14日

如下

  1. CFA I
  2. Quantitative

NO.PZ2017092702000095

问题如下：

A call option on a stock index is valued using a three-step binomial tree with an up move that equals 1.05 and a down move that equals 0.95. The current level of the index is $190, and the option exercise price is $200. If the option value is positive when the stock price exceeds the exercise price at expiration and $0 otherwise, the number of terminal nodes with a positive payoff is:

选项：

A.

one.

B.

two.

C.

three.

解释：

A is correct.

Only the top node value of $219.9488 exceeds $200

题干里面o otherwise是什么意思

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1 个答案

星星_品职助教 · 2022年08月14日

同学你好，

Call期权的执行价格是$200，即可以用$200的固定价格来购买对应的资产，

所以，如果节点价格超过了$200，此时可以低价买入，执行期权有利可图，期权的价值就是positive。

相反，如果节点价格低于了$200，此时执行期权是亏本的，期权价值也就是0（$0 otherwise）。

上述内容都是衍生品的内容，可以学完后重新再看一下数量里的这类题型。

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