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Roxanne_104 · 2020年04月09日

问一道题:NO.PZ2019070101000025 [ FRM I ]

问题如下:

An analyst wants to calculate the value of 1-year European call option and put option using BSM formula. He has collected below information: current stock price is $90, exercise price is $90, continuously compounded risk-free rate is 4%, annual volatility is 20%. What is the value of the call option and put option?

选项:

Call
Put

A.

$10.65
$3.22

B.

$8.93
$5.41

C.

$5.41
$8.93

D.

$3.22
$10.65

解释:

B is correct.

考点:BSM Model

解析:

根据已知条件,可以将BSM模型的参数归纳如下:

S0 =$90; X=$90; r=4% T=1 and σ=20%

d1=ln(9090)+(0.04+0.2×0.22)10.20(1)=0.060.20=0.3

d2=0.3-0.20×1=0.1

从累积概率分布表中查询可以得到

N(d1)=0.6179

N(d2)=0.5398

计算Call option价值:

c=90(0.6179)-90 e 0.04(1) (0.5398)=8.9339

put/call parity, the put’s value is:

p 0 = c 0 s 0 +(X× e R c f ×T )=5.4050

这道题是不是考试会给出表?按正常步骤算就可以了
1 个答案

袁园_品职助教 · 2020年04月10日

同学你好!

考试的时候会给好数字的放心 ~

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NO.PZ2019070101000025问题如下analyst wants to calculate the value of 1-yeEuropecall option an put option using BSM formulHe hcollectebelow information: current stopriis $90, exercise priis $90, continuously compounrisk-free rate is 4%, annuvolatility is 20%. Whis the value of the call option an put option? CallPut A.$10.65$3.22 B.$8.93$5.41 C.$5.41 $8.93 $3.22 $10.65B is correct. 考点BSM Mol解析根据已知条件,可以将BSM模型的参数归纳如下S0 =$90; X=$90; r=4% T=1 anσ=20%=ln(9090)+(0.04+0.2×0.22)10.20(1)=0.060.20=0.3=0.3-0.20×1=0.1从累积概率分布表中查询可以得到 N()=0.6179N()=0.5398 计算Call option价值c=90(0.6179)-90 e −0.04(1) (0.5398)=8.9339put/call parity, the put’s value is: p 0 = c 0 − s 0 +(X× e − R c f ×T )=5.4050 请问老师可以提供一份吗?这个分布大概长什么样子

2022-03-24 18:00 1 · 回答

$8.93 $5.41 $5.41 $8.93 $3.22 $10.65 B is correct. 考点BSM Mol 解析 根据已知条件,可以将BSM模型的参数归纳如下 S0 =$90; X=$90; r=4% T=1 anσ=20% =ln(9090)+(0.04+0.2×0.22)10.20(1)=0.060.20=0.3 =0.3-0.20×1=0.1 从累积概率分布表中查询可以得到 N()=0.6179 N()=0.5398 计算Call option价值 c=90(0.6179)-90 e −0.04(1) (0.5398)=8.9339 put/call parity, the put’s value is: p 0 = c 0 − s 0 +(X× e − R c f ×T )=5.4050 这道题的正确答案应该是B吧。

2020-02-22 14:38 1 · 回答

     老师你好,这道题1、执行价格和市场价格均为90shi时,应该lta都是0.5,不用查表了2、如果需要查表的话,这道题还没有给出表的数字……

2019-10-24 16:17 2 · 回答

     这道题貌似系统有BUG, 显示C是正确

2019-10-20 17:28 1 · 回答