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一只可爱的猪 · 2020年03月02日

问一道题:NO.PZ2018062007000077

问题如下:

To determine the price of an option today, the binomial model requires:

选项:

A.

selling one put and buying one offsetting call.

B.

buying one unit of the underlying and selling one matching call.

C.

using the risk- free rate to determine the required number of units of the underlying.

解释:

C is correct. Pricing an option relies on the facts that a perfectly hedged investment earns the risk- free rate and that, based on the binomial option pricing model, the size of the two possible changes in the option price (meaning the potential step up or step down in the option value) after one period are equivalent.

A为什么不对

1 个答案

xiaowan_品职助教 · 2020年03月02日

嗨,努力学习的PZer你好:


同学你好,因为我们要用二叉树模型给期权定价时,是不需要同时操作call和put的。

同学可以回顾一下二叉树定价时我们构建的无套利模型


-------------------------------
加油吧,让我们一起遇见更好的自己!


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