问一道题：NO.PZ2018062016000094 [ CFA I ]

问题如下：

Using one-period binomial model, Jack calculated that the terminal value of a stock is $55, if the current price is $50, the size of an up move is 1.25 and a down move is 0.8. The probability of a down move that Jack picked is:

选项：

0.50

0.67

0.33

解释：

C is correct. The probability of an up move is p, then the probability of a down move is (1-p). Draw the equation that (p)uS + (1 – p)dS = (p)×50×1.25+ (1 – p)×50×0.8 = 55. Solving the equation, p = 0.67, so (1-p) = 0.33.

这里为什么不是50+1.25，50-0.8呢

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1 个答案

星星_品职助教 · 2020年02月25日

同学你好，

这里是up/down move的“size”，这种题型都是用乘法，没有用加法的

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NO.PZ2018062016000094问题如下Using one-periobinomimol, Jacalculateththe terminvalue of a stois $55, if the current priis $50, the size of up move is 1.25 ana wn move is 0.8. The probability of a wn move thJapickeis:A.0.50B.0.67C.0.33C is correct. The probability of up move is p, then the probability of a wn move is (1-p). the equation th(p)uS + (1 – p) = (p)×50×1.25+ (1 – p)×50×0.8 = 55. Solving the equation, p = 0.67, so (1-p) = 0.33.看不太懂讲解我好像记得公式是nCxp（1-p）nx怎么感觉对不上

2022-08-20 02:42 2 · 回答

NO.PZ2018062016000094 0.67 0.33 C is correct. The probability of up move is p, then the probability of a wn move is (1-p). the equation th(p)uS + (1 – p) = (p)×50×1.25+ (1 – p)×50×0.8 = 55. Solving the equation, p = 0.67, so (1-p) = 0.33. 为什么这里的size move up要理解成1.25倍？英文的意思是涨1.25元啊

2022-02-06 19:32 1 · 回答

NO.PZ2018062016000094 同问，为什么均值是55？

2021-08-19 23:10 1 · 回答

又是一道题目和解析看不懂的题

2020-07-24 18:23 1 · 回答

从题目中能够得到金额50x1.25=62.5,以及50x0.8=40，以及选择上的机率是P，选择下降的机率是1-p。那么请问为什么可以把机率x金额(Px62.5+(1-p)x40)=第二级的金额(55)的不等式呢？我记得老师在课堂中只讲到，把第一级的机率X第二级的机率，然后把两组机率相加就是最终的probability，但是并没有提到实际乘以金额的方法。

2020-06-21 16:37 1 · 回答

问一道题：NO.PZ2018062016000094 [ CFA I ]

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