问一道题：NO.PZ2019070101000025 [ FRM I ]

NO.PZ2019070101000025问题如下analyst wants to calculate the value of 1-yeEuropecall option an put option using BSM formulHe hcollectebelow information: current stopriis $90, exercise priis $90, continuously compounrisk-free rate is 4%, annuvolatility is 20%. Whis the value of the call option an put option? CallPut A.$10.65$3.22 B.$8.93$5.41 C.$5.41 $8.93 $3.22 $10.65B is correct. 考点BSM Mol解析根据已知条件，可以将BSM模型的参数归纳如下S0 =$90; X=$90; r=4% T=1 anσ=20%=ln(9090)+(0.04+0.2×0.22)10.20(1)=0.060.20=0.3=0.3-0.20×1=0.1从累积概率分布表中查询可以得到 N()=0.6179N()=0.5398 计算Call option价值c=90(0.6179)-90 e −0.04(1) (0.5398)=8.9339put/call parity, the put’s value is: p 0 = c 0 − s 0 +(X× e − R c f ×T )=5.4050 请问老师可以提供一份吗？这个分布大概长什么样子

$8.93 $5.41 $5.41 $8.93 $3.22 $10.65 B is correct. 考点BSM Mol 解析 根据已知条件，可以将BSM模型的参数归纳如下 S0 =$90; X=$90; r=4% T=1 anσ=20% =ln(9090)+(0.04+0.2×0.22)10.20(1)=0.060.20=0.3 =0.3-0.20×1=0.1 从累积概率分布表中查询可以得到 N()=0.6179 N()=0.5398 计算Call option价值 c=90(0.6179)-90 e −0.04(1) (0.5398)=8.9339 put/call parity, the put’s value is: p 0 = c 0 − s 0 +(X× e − R c f ×T )=5.4050 这道题是不是考试会给出表？按正常步骤算就可以了

$8.93 $5.41 $5.41 $8.93 $3.22 $10.65 B is correct. 考点BSM Mol 解析 根据已知条件，可以将BSM模型的参数归纳如下 S0 =$90; X=$90; r=4% T=1 anσ=20% =ln(9090)+(0.04+0.2×0.22)10.20(1)=0.060.20=0.3 =0.3-0.20×1=0.1 从累积概率分布表中查询可以得到 N()=0.6179 N()=0.5398 计算Call option价值 c=90(0.6179)-90 e −0.04(1) (0.5398)=8.9339 put/call parity, the put’s value is: p 0 = c 0 − s 0 +(X× e − R c f ×T )=5.4050 这道题的正确答案应该是B吧。

     老师你好，这道题1、执行价格和市场价格均为90shi时，应该lta都是0.5，不用查表了2、如果需要查表的话，这道题还没有给出表的数字……

     这道题貌似系统有BUG, 显示C是正确