NO.PZ2021061002000070
问题如下:
Suppose the current price (S0)
of a non-dividend-paying stock is 100, and a put option on the stock has an
exercise price (X) of $95 with one year left to maturity. Now an investor believes
that the stock price is either up by 10% or down by 20%.
Which of the following calculations of the
value of a put option is correct (assume a risk free rate is 4%)?
选项:
A.3
2.88
0.8
解释:
解析:
S1u = 100 * (1+10%) =
110; Ru = 1.1; p1u=Max(0, 95 -110)= 0
S1d = 100 * (1-20%) =
80; Rd = 0.8; p1d=Max(0, 95-80)= 15
The risk-neutral probability is:
The put option price is:
重要吗?
看哪节课?