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dejiazheng · 2022年10月25日

不理解B选项为什么错?

NO.PZ2022071202000031

问题如下:

Question When working backward from the nodes on a binomial tree diagram, the analyst is attempting to calculate:

选项:

A.the number of potential outcomes.

B.the probability of a given scenario.

C.an expected value as of today.

解释:

Solution

C is correct. In a tree diagram, a problem is worked backward to formulate an expected value as of today.

A is incorrect because the number of nodes is determined by the number of periods as well as the number of forecasted probabilities per period. These inputs will be used in the model to find the potential outcomes. Working backward will then provide the expected value as of today.

B is incorrect because the probability of a given scenario is estimated by the analyst for use in forecasting ending values.

B.the probability for a given scenario,这不也是二叉树的定义吗?即对应发生的概率之和吗?感觉这也是for use in forecasting ending values

1 个答案

星星_品职助教 · 2022年10月25日

同学你好,

二叉树从后往前逆推(working backward)是对于金融产品的估值过程,也就是计算今天的价值,即C选项。这种估值方法在一二级衍生品和二级固收里会有具体的应用。

上升和下降场景的概率是研究人员自行估计出来的,不是二叉树逆推求出来的。

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