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lion · 2023年03月08日

求解释

NO.PZ2016082402000027

问题如下:

A one-year European put option on a non-dividend-paying stock with strike at EUR 25 currently trades at EUR 3.19. The current stock price is EUR 23 and its annual volatility is 30%. The annual risk-free interest rate is 5%. What is the price of a European call option on the same stock with the same parameters as those of this put option? Assume continuous compounding.

选项:

A.

EUR 1.19

B.

EUR 3.97

C.

EUR 2.41

D.

Cannot be determined with the data provided

解释:

ANSWER: C

By put-call parity,     c=p+SerTKerT=3.19+2325e0.05×1=3.190.78=2.409\;\;c=p+Se^{-r\ast T}-Ke^{-rT}=3.19+23-25e^{-0.05\times1}=3.19-0.78=2.409. Note that the volatility information is not useful.

同学你好,第一句话你可以分开来看:有一个执行价格是25的put option,这个option现在市面上价值是3.19元。 以上是品智老师的讲解,但根据答案25是K值呀,3.19是put option的值吗?麻烦将题干中数据与CK  PS值对应

1 个答案

DD仔_品职助教 · 2023年03月08日

嗨,从没放弃的小努力你好:


同学你好,

K执行价格=25,S当前的基础资产价格=23,put的价格=3.19,根据CK=PS:

C=P+S-K折现=3.19+23−25*e^−0.05×1=2.409

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努力的时光都是限量版,加油!

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NO.PZ2016082402000027问题如下 A one-yeEuropeput option on a non-vinpaying stowith strike EUR 25 currently tras EUR 3.19. The current stopriis EUR 23 anits annuvolatility is 30%. The annurisk-free interest rate is 5%. Whis the priof a Europecall option on the same stowith the same parameters those of this put option? Assume continuous compounng. EUR 1.19 EUR 3.97 EUR 2.41 Cannot terminewith the ta provi ANSWER: Cput-call parity,     c=p+Se−r∗T−Ke−rT=3.19+23−25e−0.05×1=3.19−0.78=2.409\;\;c=p+Se^{-r\ast T}-Ke^{-rT}=3.19+23-25e^{-0.05\times1}=3.19-0.78=2.409c=p+Se−r∗T−Ke−rT=3.19+23−25e−0.05×1=3.19−0.78=2.409. Note ththe volatility information is not useful.​同学你好,第一句话你可以分开来看有一个执行价格是25的put option,这个option现在市面上价值是3.19元。 以上是品智老师的讲解,但根据答案25是K值呀,3.19是put option的值吗?麻烦将题干中数据与 PS值对应,这个话明显看不出来K值是25?这题里没说呀,3.19是看跌期权哪句话看出来来的呀,请对应翻译,

2023-03-08 16:48 1 · 回答

NO.PZ2016082402000027问题如下 A one-yeEuropeput option on a non-vinpaying stowith strike EUR 25 currently tras EUR 3.19. The current stopriis EUR 23 anits annuvolatility is 30%. The annurisk-free interest rate is 5%. Whis the priof a Europecall option on the same stowith the same parameters those of this put option? Assume continuous compounng. EUR 1.19 EUR 3.97 EUR 2.41 Cannot terminewith the ta provi ANSWER: Cput-call parity,     c=p+Se−r∗T−Ke−rT=3.19+23−25e−0.05×1=3.19−0.78=2.409\;\;c=p+Se^{-r\ast T}-Ke^{-rT}=3.19+23-25e^{-0.05\times1}=3.19-0.78=2.409c=p+Se−r∗T−Ke−rT=3.19+23−25e−0.05×1=3.19−0.78=2.409. Note ththe volatility information is not useful.为什么第一句话有个卖权执行价格是25,近期交易价格为3.19,所以没太理解第一句话

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