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hbc0728 · 2019年04月25日

问一道题:NO.PZ2016082402000027

问题如下图:

    

选项:

A.

B.

C.

D.

解释:


请问时间不用cheng乘2么,谢谢

1 个答案

orange品职答疑助手 · 2019年04月26日

同学你好,我没有明白同学你为什么要把时间乘2呢,题目里也没涉及到2年啊

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NO.PZ2016082402000027问题如下 A one-yeEuropeput option on a non-vinpaying stowith strike EUR 25 currently tras EUR 3.19. The current stopriis EUR 23 anits annuvolatility is 30%. The annurisk-free interest rate is 5%. Whis the priof a Europecall option on the same stowith the same parameters those of this put option? Assume continuous compounng. EUR 1.19 EUR 3.97 EUR 2.41 Cannot terminewith the ta provi ANSWER: Cput-call parity,     c=p+Se−r∗T−Ke−rT=3.19+23−25e−0.05×1=3.19−0.78=2.409\;\;c=p+Se^{-r\ast T}-Ke^{-rT}=3.19+23-25e^{-0.05\times1}=3.19-0.78=2.409c=p+Se−r∗T−Ke−rT=3.19+23−25e−0.05×1=3.19−0.78=2.409. Note ththe volatility information is not useful.​同学你好,第一句话你可以分开来看有一个执行价格是25的put option,这个option现在市面上价值是3.19元。 以上是品智老师的讲解,但根据答案25是K值呀,3.19是put option的值吗?麻烦将题干中数据与 PS值对应,这个话明显看不出来K值是25?这题里没说呀,3.19是看跌期权哪句话看出来来的呀,请对应翻译,

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