张大龙 · 2024年03月24日
NO.PZ2020021205000014
问题如下：
Use a two-step tree to value a one-year American call option on an index. The current value of the index is 2,000, the risk-free rate is 2%, and the dividend yield on the index is 3%. The strike price is 1,900 and the volatility is 22% per annum.
解释：
The tree is shown as follows. The option is exercised
early at node A. The value of the option is 216.67.
Delta T为什么不是1呢？
NO.PZ2020021205000014问题如下Use a two-step tree to value a one-yeAmericcall option on inx. The current value of the inx is 2,000, the risk-free rate is 2%, anthe vinyielon the inx is 3%. The strike priis 1,900 anthe volatility is 22% per annum.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 7.5px Helveticcolor: #464045}span.s1 {color: #6a5247}span.s2 {color: #4b586c}span.s3 {color: #303b5f}The tree is shown follows. The option is exercise.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #484046}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #464046}span.s1 {color: #466b}early no The value of the option is 216.67.老师请问一下，这里的折现为什么只用无风险利率，而没有考虑分红，为什么这里不是（2%-3%）
NO.PZ2020021205000014问题如下Use a two-step tree to value a one-yeAmericcall option on inx. The current value of the inx is 2,000, the risk-free rate is 2%, anthe vinyielon the inx is 3%. The strike priis 1,900 anthe volatility is 22% per annum.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 7.5px Helveticcolor: #464045}span.s1 {color: #6a5247}span.s2 {color: #4b586c}span.s3 {color: #303b5f}The tree is shown follows. The option is exercise.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #484046}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #464046}span.s1 {color: #466b}early no The value of the option is 216.67.A点up选择执行436.63，wn不执行44.08, 那往0点折现的时候，为什么最后选择用up不执行的价格和wn不执行的价格折现？
NO.PZ2020021205000014 在a时立即行权。一般考试会怎么问？因为这道题还是计算option pri我不知道得出来A时点立即行权在哪里用
老师，这道题可以写一下详细的步骤嘛，算出来和答案有些误差。
