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Ivana 🍭 · 2022年09月13日

老师请问题干哪里有说只考虑最后一期？ 88.5为什么不行？

  1. CFA I
  2. Quantitative

NO.PZ2018062016000095

问题如下：

Using two-period binomial model, Jack wants to calculate the terminal value of a put option. If the current price of the underlying asset is $150 and the strike price is $120, the size of an up move is 1.69 and a down move is 0.59. Only when the price is below the strike price can the option has a positive value, otherwise the value will be zero. How many terminal nodes can give back positive return？

选项：

A.

1

B.

2

C.

0

解释：

A is correct. Only the third node has a value less than $120, which is $52.22.

老师请问题干哪里有说只考虑最后一期？ 88.5为什么不行？

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1 个答案

星星_品职助教 · 2022年09月13日

同学你好，

最终的问题为：“How many terminal nodes can give back positive return？”，所以只看最后的（terminal）就可以了。

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