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xiaoe · 2023年08月19日

用无套利方法算出来怎么是51.77，跟这个不一样

  1. CFA II
  2. Derivative

NO.PZ2023041003000033

问题如下：

Messer replies, “The binomial valuation model can be applied to the 2-yearEuropean style index call options we purchased one year ago. The applicable underlying instrument is the German Blue Chip Equity price index, which excludes dividends. Exhibit 1 shows the option’s characteristics at the time of purchase.”

Using the binomial valuation method and the data in Exhibit 1, the price Messer paid one year ago for the call option with a strike price of EUR750 is closest to:

选项：

A.

EUR 51.54.

B.

EUR 47.57.

C.

EUR 102.08.

解释：

The price of the call option at time 0 was EUR 51.5363. The following is the two-step binomial tree:



用无套利方法算出来怎么是51.77，跟这个不一样

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1 个答案

Lucky_品职助教 · 2023年08月20日

嗨，从没放弃的小努力你好：


我们在计算过程中有四舍五入，所以有一点尾差是正常的~

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NO.PZ2023041003000033问题如下 Messer replies, “Thebinomivaluation mol capplieto the 2-yearEuropestyle inx calloptions we purchaseone yeago. The applicable unrlying instrument is theGermBlue Chip Equity priinx, whiexclus vin. Exhibit 1shows the option’s characteristithe time of purchase.” Using the binomialvaluation methoanthe ta in Exhibit 1, the priMesser paione yearago for the call option with a strike priof EUR750 is closest to: A.EUR 51.54.B.EUR 47.57.C.EUR 102.08. The priof thecall option time 0 wEUR 51.5363. The following is the two-step binomialtree: 请在纸上写一下完整步骤。

2023-10-08 15:34 1 · 回答