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西红柿面 · 2023年04月17日

"can give back positive return"是指期权本身是positive return吗？

  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.

"can give back positive return"是指期权本身是positive return吗？因为只有2个nodes是行权了，所以这时期权return是positive？

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星星_品职助教 · 2023年04月17日

同学你好，

1）本题只有结果为52.22的那一个nodes会行权；

2）此时购买put option的投资者会实现positive return。

具体关于期权的知识可以在衍生品科目中学习。

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