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fdzh · 2023年11月07日

请问这题中的u和d的值1.2和0.8是怎么求出的,并没有告知standard deviation?

NO.PZ2023091802000132

问题如下:

Common text for questions following two questions:

A risk manager for Bank XYZ, Mark is considering writing a 6 month American put option on a non-dividend paying stock ABC. The current stock price is USD 50 and the strike price of the option is USD 52. In order to find the no-arbitrage price of the option Mark uses a two-step binomial tree model. The stock price can go up or down by 20% each period. Mark’s view is that the stock price has an 80% probability of going up each period and a 20% probability of going down. The annual risk-free rate is 12% with continuous compounding.

What is the risk-neutral probability of the stock price going up in a single step?

选项:

A.

34.5%

B.

57.6%

C.

65.5%

D.

80.0%

解释:


如题

1 个答案

DD仔_品职助教 · 2023年11月07日

嗨,努力学习的PZer你好:


The stock price can go up or down by 20% each period.代表u=1+20%=1.2,d=1-20%=0.8

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努力的时光都是限量版,加油!

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