求此题的计算过程

NO.PZ2023091802000129

问题如下：

A stock is currently trading at USD 45, and its annual price volatility is 30%. The risk-tree rate is 1.5% per year. A risk manager is developing a 1-step binomial tree for a 2-year horizon. What is the risk-neutral probability that the stock will move down?

选项：

30%

43%

57%

70%

解释：

求此题的计算过程

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1 个答案

李坏_品职助教 · 2023年10月22日

嗨，从没放弃的小努力你好：

这个题目让求解二叉树模型中的股价下跌的概率。

我圈起来的p是股价上涨的概率。

首先求出股价上涨的幅度u = exp(0.3*根号2)=1.53，d = 0.65.

所以p = (exp(0.015*2) - 0.65) / (1.53-0.65) = 0.43.

股价下跌概率= 1-股价上涨概率 = 1-0.43 = 57%

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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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NO.PZ2023091802000129问题如下 A stois currently trang US45, anits annupricevolatility is 30%. The risk-tree rate is 1.5% per year. A risk manager isveloping a 1-step binomitree for a 2-yehorizon. Whis therisk-neutrprobability ththe stowill move wn? A.30% B.43%C.57%70% P=ert−−e1.5%×2−0.651.52−0.65=0.4373u=eσt=e30%×t=1.521u=0.651−P=56.27%P=\frac{e^{rt}-{u-=\frac{e^{1.5\%\times2}-0.65}{1.52-0.65}=0.4373\\u=e^{\sigma\sqrt t}=e^{30\%\times\sqrt t}=1.52\\\frac1u=0.65\\1-P=56.27\%P=u−rt−=1.52−0.65e1.5%×2−0.65=0.4373u=eσt=e30%×t=1.52u1=0.651−P=56.27% 如题，麻烦说一下用答案这个lta T的原因

2024-05-05 13:14 1 · 回答

求此题的计算过程

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