NO.PZ2019010402000016
问题如下：
A manager wants to price a put option by one-period binomial tree. The relative information is as follows:
- The current stock price is $30, exercise price of put option is $30
- The up factor is 1.12, and the down factor is 0.92
- The risk-free rate is 5%.
The hedge ratio is:
选项：
A.
-0.4
B.
-0.45
C.
-0.6
解释：
A is correct.
考点：hedge ratio
解析：
Put的hedge ratio h=p+ -p- /s+ -s-
其中p+=max(0, X-S+)=max(0,30-30×1.12)=0，p-=max(0, X-S-)=max(0,30-30×0.92)=2.4
s+其中=30*1.12=33.6
s-=30*0.92=27.6
h=p+ -p- /s+ -s-=0-2.4 /33.6-27.6=-0.4
Put的价格2.4不用除1.05往前折一期吗
