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早早 · 2023年03月05日

这道题,不是在说hedeg? long asset +short derivatives =risk free ?

Q. To determine the price of an option today, the binomial model requires:

  1. selling one put and buying one offsetting call.
  2. buying one unit of the underlying and selling one matching call.
  3. using the risk-free rate to determine the required number of units of the underlying.

Solution

C is correct. Pricing an option relies on the facts that a perfectly hedged investment earns the risk-free rate and that, based on the binomial option pricing model, the size of the two possible changes in the option price (meaning the potential step up or step down in the option value) after one period are equivalent.

1 个答案

Lucky_品职助教 · 2023年03月09日

嗨,爱思考的PZer你好:


这道题在考察用二叉树模型为期权定价,不知道同学是哪里不明白呢,题目是把这个过程用文字描述出来了~

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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