NO.PZ202108100100000403
问题如下:
What are the correct spot value (S) and the risk-free rate (r) that Lee should use
as inputs for the Black model?
选项:
A.
186.73 and 0.39%, respectively
B.
186.73 and 2.20%, respectively
C.
187.95 and 2.20%, respectively
解释:
A is correct
Black’s model to value a call option on a futures contract is c = e-rT[F0(T)N(d1) - XN(d2)]. The underlying F0 is the futures price (186.73). The correct discount rate is the risk-free rate, r = 0.39%.
中文解析:
本题考察的是Black model,注意该模型说的是针对标的为期货(futures)的期权求其价值。因此根据题干信息可知,futures的价格是186.73,而187.95是这个futures的标的GPX 500 index的价格,所以排除C,另外股息率是2.2%,无风险利率是0.39%。选A
输入变量不应该是连续复利的rf吗?即Rfc=Ln(1+rf)?