问题如下图:
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解释:
为什么Delta不是0.64?
NO.PZ2016082404000028问题如下You are given the following information about a Europecall option: Time to maturity = 2 years; continuous risk-free rate = 4%; continuous vinyiel= 1%; N()=0.64N{(1)}=0.64N()=0.64 . Calculate the lta of this option. -0.64 0.36 0.63 0.64 ANSWER: CThis is a call option, so lta must positive. This is given △=e-r∗τN()=e−0.01×2×0.64=0.63.\bigtriangleup\text{=}e^{\text{-}r\ast\tau}N{(1)}=e^{-0.01\times2}\times0.64=0.63.△=e-r∗τN()=e−0.01×2×0.64=0.63.上一题lta不用乘以N(),这一题为什么要乘?
在计算N ()的时候就已经把S替换为剔除了分红的价格,lta call=N (),为什么在算lta call的时候还要再剔除一次分红呢?