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Helen 🎈 · 2022年11月30日

算到什么时候结束？

  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.

请问一般就是三期吗？

还是说算到上下有交叉值了结束啊

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1 个答案

星星_品职助教 · 2022年11月30日

同学你好，

题干中有提示“Using two-period binomial model”，所以做两期二叉树就可以（150是初始金额，不是一期）。

题目中比较常见的是给出两期或三期的情况。

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