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我叫仙人涨 · 2020年05月15日

问一道题：NO.PZ201702190300000305

  1. CFA II
  2. Derivative

* 问题详情，请 查看题干

问题如下：

5.The value of the European-style call option on Beta Company shares is closest to:

选项：

A.

4.83.

B.

5.12.

C.

7.61.

解释：

A is correct.

Using the expectations approach, the risk-neutral probability of an up move is

π= [FV(1) - d]/(u - d) = (1.03 - 0.800)/(1.300 - 0.800) = 0.46.

The terminal value calculations for the exercise values at Time Step 2 are

c++ = Max(0,u2S - X) = Max[0,1.302(38) - 40] = Max(0,24.22) = 24.22.

c-+ = Max(0,udS - X) = Max[0,1.30(0.80)(38) - 40] = Max(0,-0.48) = 0.

c- - = Max(0,d2S - X) = Max[0,0.802(38) - 40] = Max(0,-15.68) = 0.

Discounting back for two years, the value of the call option at Time Step 0 is

c = PV[n2c++ + 2n(1 - n)c-+ + (1 - n)2c--].

c = [1/(1.03)]2[0.462(24.22) + 2(0.46)(0.54)(0) + 0.542(0)].

c = [1/(1.03)]2[5.1250] = 4.8308.

看到竹子老师画的一个t=2 的图

如果是1 period = 2 years,折现C1 to C0的时候，分子也要是（1+rf）^ 2 对么

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1 个答案

xiaowan_品职助教 · 2020年05月15日

嗨，努力学习的PZer你好：


同学你好，

是这样的哈，如果每个阶段时长是2年，折现就要按照这个实际时长来折


-------------------------------
努力的时光都是限量版，加油！


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NO.PZ201702190300000305 为什么答案对不上呢？ 感谢~！

2021-05-26 22:06 1 · 回答

5.12. 7.61. A is correct. Using the expectations approach, the risk-neutrprobability of up move is π= [FV(1) - /(u - = (1.03 - 0.800)/(1.300 - 0.800) = 0.46. The terminvalue calculations for the exercise values Time Step 2 are c++ = Max(0,u2S - X) = Max[0,1.302(38) - 40] = Max(0,24.22) = 24.22. c-+ = Max(0,u - X) = Max[0,1.30(0.80)(38) - 40] = Max(0,-0.48) = 0. - = Max(0,S - X) = Max[0,0.802(38) - 40] = Max(0,-15.68) = 0. scounting bafor two years, the value of the call option Time Step 0 is c = PV[n2c++ + 2n(1 - n)c-+ + (1 - n)2c--]. c = [1/(1.03)]2[0.462(24.22) + 2(0.46)(0.54)(0) + 0.542(0)]. c = [1/(1.03)]2[5.1250] = 4.8308.u 与 pu 与p概念上要怎么理解，常常搞错

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