NO.PZ2018062007000079
问题如下:
Based on the binomial model, an increase in the actual probability of an upward move in the underlying will result in the option price:
选项:
A.decreasing.
B.remaining the same.
C.increasing.
解释:
B is correct. The binomial model does not consider the actual probabilities of upward and downward movements in determining the option value. Thus, a change in this probability has no effect on the calculated option price.
中文解析:
二项模型在决定期权价值时没有考虑实际的向上和向下运动的概率,使用的是假设的risk-neutral probability。因此,这个概率的变化对计算出来的期权价格没有影响。
不是很懂为什么使用risk-neutral probability,这个和option pricing 有什么关系呢?