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月之流离 · 2020年02月24日

问一道题：NO.PZ2018062016000095 [ CFA I ]

  1. CFA I
  2. Quantitative

问题如下：

Using two-period binomial model, Jack wants to calculate the terminal value of a put option. If the current price of the underlying asset is $150 and the strike price is $120, the size of an up move is 1.69 and a down move is 0.59. Only when the price is below the strike price can the option has a positive value, otherwise the value will be zero. How may terminal nodes can give back positive return？

选项：

A.

1

B.

2

C.

0

解释：

A is correct. Only the third node has a value less than $120, which is $52.22.

题目最后一句写错了！ 不应该是how may， 应该是how many！ 问的是最终节点小于120的有几个！看了半天没看懂how may是要算什么
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星星_品职助教 · 2020年02月24日

同学你好，

你说得对，已经修改

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