开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

Drink H · 2020年02月24日

问一道题:NO.PZ2020021205000058 [ FRM I ]

问题如下:

A stock price is currently 50. Its volatility is 20% per annum. The risk-free rate is 4% per annum with continuous compounding. value an option that pays off max(S2S^2 - 2,400, 0) in six months where S is the stock price. (This is known as a power option.)

解释:

For the power option, the tree becomes as follows, and the value of the option is 408.363.

答案是不是少了解题过程?power option又是什么?
1 个答案

orange品职答疑助手 · 2020年02月24日

同学你好,它的解答图像显示的有点问题,应该是这个。如果有问题的话再追问哈。

power option是一种奇异期权,我也是第一次见…… 不过它给出payoff表达式啦,照那样算就行

  • 1

    回答
  • 1

    关注
  • 423

    浏览
相关问题

NO.PZ2020021205000058问题如下A stopriis currently 50. Its volatility is 20% per annum. The risk-free rate is 4% per annum with continuous compounng. value option thpays off max(S2S^2S2 - 2,400, 0) in six months where S is the stoprice. (This is known a power option.) For the power option, the tree becomes follows, anthe value of the option is 408.363.解析power option是一种奇异期权叫做幂期权,他与一般的期权的区别在于,在T时刻,看涨幂期权的价值=max{0,Sn -X},而不是max{0,S-X}。该期权简单了解即可。对于本题的这个幂期权,其价值=max{S2 -X,0}。具体的二叉树如下 1、老师好,这道题的u(p)和1-p)分别是多少啊?2、红色方框是前往前折现再乘以对应的概率吗?3、折现的利率,折现到0.25段儿是4%乘以0.25,去年化?我计算两个红色方框折现再乘以概率是744,不是738耶4、标准差20%也要去年化吗?还是20%*0.25^0.5就行?

2024-06-27 12:22 1 · 回答

NO.PZ2020021205000058 问题如下 A stopriis currently 50. Its volatility is 20% per annum. The risk-free rate is 4% per annum with continuous compounng. value option thpays off max(S2S^2S2 - 2,400, 0) in six months where S is the stoprice. (This is known a power option.) For the power option, the tree becomes follows, anthe value of the option is 408.363.解析power option是一种奇异期权叫做幂期权,他与一般的期权的区别在于,在T时刻,看涨幂期权的价值=max{0,Sn -X},而不是max{0,S-X}。该期权简单了解即可。对于本题的这个幂期权,其价值=max{S2 -X,0}。具体的二叉树如下 从哪里得出是二叉树?

2024-02-04 18:23 1 · 回答

NO.PZ2020021205000058问题如下A stopriis currently 50. Its volatility is 20% per annum. The risk-free rate is 4% per annum with continuous compounng. value option thpays off max(S2S^2S2 - 2,400, 0) in six months where S is the stoprice. (This is known a power option.) For the power option, the tree becomes follows, anthe value of the option is 408.363.解析power option是一种奇异期权叫做幂期权,他与一般的期权的区别在于,在T时刻,看涨幂期权的价值=max{0,Sn -X},而不是max{0,S-X}。该期权简单了解即可。对于本题的这个幂期权,其价值=max{S2 -X,0}。具体的二叉树如下 时间理解有很大的问题,请详细说下这个时间的变动到底如何判断。谢谢。请附上详细解题步骤。二叉树基本计算都错误,原理貌似简单,但是计算不对。

2023-03-06 01:29 1 · 回答

NO.PZ2020021205000058问题如下A stopriis currently 50. Its volatility is 20% per annum. The risk-free rate is 4% per annum with continuous compounng. value option thpays off max(S2S^2S2 - 2,400, 0) in six months where S is the stoprice. (This is known a power option.) For the power option, the tree becomes follows, anthe value of the option is 408.363.解析power option是一种奇异期权叫做幂期权,他与一般的期权的区别在于,在T时刻,看涨幂期权的价值=max{0,Sn -X},而不是max{0,S-X}。该期权简单了解即可。对于本题的这个幂期权,其价值=max{S2 -X,0}。具体的二叉树如下 第一,这个期权要按欧式还是美式计算,第二,按看涨还是看跌,第三,是按二叉树的算法计算只是最后股价是s的平方,其他做法不变是吗?

2023-03-01 16:36 1 · 回答

NO.PZ2020021205000058 老师,从题目怎么看出来是二阶的二叉树?还是说幂期权定价默认是二阶

2022-02-15 16:14 1 · 回答