开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

小蜜蜂jj1 · 2023年03月26日

B为什么不对呢

  1. CFA I
  2. Derivative

NO.PZ2018062007000077

问题如下：

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

选项：

A.

selling one put and buying one offsetting call.

B.

buying one unit of the underlying and selling one matching call.

C.

using the risk- free rate to determine the required number of units of the underlying.

解释：

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.

中文解析：

本题考察的是用hedged portfolio 的方法对二叉树进行定价。注意V0 =hS0 -c0, 其中short call=long stock - short rf ，因为我们可以用long stock与short call相结合，构建出无风险组合。那么也可以用无风险组合与stock相结合，构造出short call。

因为S0不是underlying asset吗

添加评论
1 个答案

Lucky_品职助教 · 2023年03月29日

嗨，爱思考的PZer你好：


B错在它说underlying和call是一对一的关系，但其实不是

----------------------------------------------
努力的时光都是限量版，加油！

  • 1

    回答

  • 0

    关注

  • 237

    浏览
相关问题

NO.PZ2018062007000077问题如下To termine the priof option toy, the binomimol requires: A.selling one put anbuying one offsetting call. B.buying one unit of the unrlying anselling one matching call. C.using the risk- free rate to termine the requirenumber of units of the unrlying. C is correct. Pricing option relies on the facts tha perfectly heeinvestment earns the risk- free rate anthat, baseon the binomioption pricing mol, the size of the two possible changes in the option pri(meaning the potentistep up or step wn in the option value) after one perioare equivalent.中文解析本题考察的是用heeportfolio 的方法对二叉树进行定价。注意V0 =hS0 -c0, 其中short call=long sto- long rf ，因为我们可以用long stock与short call相结合，构建出无风险组合。那么也可以用无风险组合与stock相结合，构造出short call。 所以无论是long call 还是short call,都等于long sto+short rf 吗？

2023-09-23 11:38 1 · 回答

NO.PZ2018062007000077 问题如下 To termine the priof option toy, the binomimol requires: A.selling one put anbuying one offsetting call. B.buying one unit of the unrlying anselling one matching call. C.using the risk- free rate to termine the requirenumber of units of the unrlying. C is correct. Pricing option relies on the facts tha perfectly heeinvestment earns the risk- free rate anthat, baseon the binomioption pricing mol, the size of the two possible changes in the option pri(meaning the potentistep up or step wn in the option value) after one perioare equivalent.中文解析本题考察的是用heeportfolio 的方法对二叉树进行定价。注意V0 =hS0 -c0, 其中short call=long sto- long rf ，因为我们可以用long stock与short call相结合，构建出无风险组合。那么也可以用无风险组合与stock相结合，构造出short call。 之前别的同学的问题里面的回答没看懂是什么意思，题目说要决定hee的unit number是多少，这不是hee ration公式用Δp和Δs算出来的吗？和rf有什么关系？？？

2023-07-01 12:54 1 · 回答

NO.PZ2018062007000077 问题如下 To termine the priof option toy, the binomimol requires: A.selling one put anbuying one offsetting call. B.buying one unit of the unrlying anselling one matching call. C.using the risk- free rate to termine the requirenumber of units of the unrlying. C is correct. Pricing option relies on the facts tha perfectly heeinvestment earns the risk- free rate anthat, baseon the binomioption pricing mol, the size of the two possible changes in the option pri(meaning the potentistep up or step wn in the option value) after one perioare equivalent.中文解析本题考察的是用heeportfolio 的方法对二叉树进行定价。注意V0 =hS0 -c0, 其中short call=long sto- long rf ，因为我们可以用long stock与short call相结合，构建出无风险组合。那么也可以用无风险组合与stock相结合，构造出short call。 中文解析只了a和b 但是没有讲c为什么对 以及 如何用risk free rate来termine units？

2023-05-01 04:15 1 · 回答

NO.PZ2018062007000077 问题如下 To termine the priof option toy, the binomimol requires: A.selling one put anbuying one offsetting call. B.buying one unit of the unrlying anselling one matching call. C.using the risk- free rate to termine the requirenumber of units of the unrlying. C is correct. Pricing option relies on the facts tha perfectly heeinvestment earns the risk- free rate anthat, baseon the binomioption pricing mol, the size of the two possible changes in the option pri(meaning the potentistep up or step wn in the option value) after one perioare equivalent.中文解析本题考察的是用heeportfolio 的方法对二叉树进行定价。注意V0 =hS0 -c0, 其中short call=long sto- short rf ，因为我们可以用long stock与short call相结合，构建出无风险组合。那么也可以用无风险组合与stock相结合，构造出short call。 。

2023-01-23 05:49 1 · 回答