NO.PZ2020021205000015
问题如下:
Use a two-step tree to value a six-month American put option on a foreign currency for a US investor. The current value of the currency is USD 1.3000, the US risk-free rate is 3%, and the foreign risk-free rate is 5%. The strike price is 1.3200, and the volatility is 14% per annum.
解释:
In this case, there is no early exercise. The value of the option per unit of foreign currency is 0.0669.
老师为什么是有e的(3%-5%)次方?这个是什么意思?