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janeathena · 2018年09月19日

问一道题:NO.PZ2018062016000095 [ CFA I ]

问题如下图:

    

选项:

A.

B.

C.

解释:


请问一下这道题的题干如何理解呢?谢谢

1 个答案

菲菲_品职助教 · 2018年09月19日

同学你好,这道题目是这么理解的:

有一个两期的二叉树模型,Jack想计算期末的put option的最终价值。现在股价为150,执行价格为120。股价上涨的乘数为1.69,股价下跌的乘数为0.59。(相当于下一年股价上涨的价格为150*1.69=253.5,股价下跌的价格为150*0.59=88.5)。只有当股价低于执行价格时,put option才会有一个positive的价值,否则为0。问最终,即两期后,如解析的图所示,只有一个路径的股价是低于执行价格的,即只有一个路径可以带来positive return,所以选A。

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