NO.PZ2023041003000038
问题如下：
Because Newport has
indicated that its goal is to pay a maximum interest rate of 1.25% on the loan,
we could also use interest rate put and call options. I believe the binomial
model can be used to value interest rate options. Exhibit 1 shows the
current interest rate information.”
Based on the
information shown in Exhibit 1 and using a two-step binomial model to
value the current at-the-money interest rate call option, the value of the
underlying instrument at Node 0 would most likely be:
选项：
A.1.25%.
1.15%.
1.00%.
解释：
When using the
two-period binomial model to value interest rate options, the value of the
underlying instrument at Node 0 is the spot rate. The spot rate (and the
at-the-money strike price) is the current Libor rate of 1.00%.
B is incorrect.
The value of the underlying instrument is the spot rate, not the forward rate.
A is incorrect.
The value of the underlying instrument is 1.00%; 1.25% is the client’s upper
tolerance bound.
为什么利率二叉树0时刻的价值是spot rate
