pengyaning · 2023年10月22日
NO.PZ2023091802000136
问题如下：
What is the price of a three month European put option on a non-dividend-paying stock with a strike price of $50 when the current stock price is $50, the risk-free interest rate is 10% per annum, and the volatility is 30% per annum.
选项：
A.2.37
B.2.48
C.2.25
D.2.63
解释：
In this case S0 = 50, K = 50, r = 0.1, σ = 0.3, T = 0.25, and
The European put price is:
关于n(d1)是查cumulative z-table吗？此题n(0.0917)是查z=0.0917对应的数吗？具体怎么查？
NO.PZ2023091802000136问题如下 Whis the priof a three month Europeput option on anon-vinpaying stowith a strike priof $50 when the current stockpriis $50, the risk-free interest rate is 10% per annum, anthe volatilityis 30% per annum. A.2.37B.2.48C.2.252.63 In this case S0 = 50, K = 50, r = 0.1, σ = 0.3, T = 0.25, an The Europeput priis: 这样查表算概率可以吗？
NO.PZ2023091802000136问题如下 Whis the priof a three month Europeput option on anon-vinpaying stowith a strike priof $50 when the current stockpriis $50, the risk-free interest rate is 10% per annum, anthe volatilityis 30% per annum. A.2.37B.2.48C.2.252.63 In this case S0 = 50, K = 50, r = 0.1, σ = 0.3, T = 0.25, an The Europeput priis: 还是不知道咋看表 应该看哪个讲义呢
NO.PZ2023091802000136 问题如下 Whis the priof a three month Europeput option on anon-vinpaying stowith a strike priof $50 when the current stockpriis $50, the risk-free interest rate is 10% per annum, anthe volatilityis 30% per annum. A.2.37 B.2.48 C.2.25 2.63 In this case S0 = 50, K = 50, r = 0.1, σ = 0.3, T = 0.25, an The Europeput priis: 因为这道题从已知条件来讲，也可以用二叉树。通过二叉树计算出的结果3.079，和BSM Mol里不一样。这是什么原因？
