NO.PZ2024021803000048
问题如下:
Using a one-period binomial model, what is the risk-neutral probability of a price increase for an underlying asset with a current price of $16.00, an upward end of period price of $22.00, a downward end of period price of $12.00, and a risk-free rate of 4.0%?选项:
A.0.38 B.0.46 C.0.54解释:
u=22/16=1.375,d=12/16=0.75, π=(1+4%-0.75)/(1.375-0.75)=0.464
可以讲一下什么时候用1减去pai,什么时候不需要吗