问题如下:
An analyst wants to calculate the risk-neutral probability of an up-move for a three-month European call option on ABC stock, he has collected below information: continuously compounded risk-free rate is 4%, ABC stock pays a continuous dividend yield of 2%, and ABC has an annual standard deviation of 8%. Which of the following is correct?
选项:
A.0.55.
B.0.62.
C.0.79.
D.0.86.
解释:
A is correct.
考点:A One-Step Binomial Model-Risk Neutral Method
解析:首先分别计算 up 和 down-move factors:
.
因此上升的概率
请问这是在课件哪一部分 另答案好像显示不全