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大瓶子 · 2023年09月10日

这题的知识点是在哪儿，与期权二叉树估值有关系吗，

  1. CFA I
  2. Derivative

NO.PZ2023040401000080

问题如下：

Suppose the strike price of a one-year call option is CAD100, the risk free rate is 2%. At time 0, the underlying asset, S0, trades at CAD98, now six months have passed, the underlying asset, St, trades at CAD102. Which of the following calculations of the upper and lower bounds of the call option is correct?

选项：

A.

The upper bound of the call option is CAD102; the lower bound of the call option is 0.

B.

The upper bound of the call option is CAD102; the lower bound of the call option is CAD2.9852.

C.

The upper bound of the call option is CAD2.9852; the lower bound of the call option is 0.

解释：

ct,Lower bound = Max(0, St − X(1 + r)−(T−t)) = Max (0, 102 – 100(1+2%)-0.5) = CAD2.9852

ct,Upper bound = St = CAD102.

这题的知识点是在哪儿，与期权二叉树估值有关系吗，

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2 个答案
已采纳答案

李坏_品职助教 · 2023年09月10日

嗨，努力学习的PZer你好：


题目问的是upper and lower bounds of the call option，问的是看涨期权的价值上限和下限。对于call option来说，上限就是St（标的资产价格），下限是Max（0，St-X*(1+r)^(-T-t)）


这个和二叉树没啥关系，二叉树是求期权价值的，这个题问的是上下限，建议同学回去看一下option部分的基础班讲义，期权价值的upper bound and lower bound这个部分。

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努力的时光都是限量版，加油！

Olivia.W🌸 · 2024年04月18日

call option 的上限不是ST-X么？下线是0呀，为啥又不是这样了。。。。

李坏_品职助教 · 2024年04月18日

嗨，努力学习的PZer你好：


这还是要以基础班讲义为准：

在CFA一级衍生品的Arbitrage and Replication这个部分，可以看到看涨期权的lower bound是Max(0, St - X*(1+r)^(T-t))，而upper bound是St。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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