Ryoooh · 2020年06月30日
问题如下：
A stock price is currently 50. Its volatility is 20% per annum. The risk-free rate is 4% per annum with continuous compounding. Use a two-step tree to determine the value of a six-month European call option on the stock with a strike price of 48.
解释：
In this case, u = 1.1052, d = 0.9048, and p = 0.5252.
The following two-step tree shows that the value of the
option is 4.511.
NO.PZ2020021205000011问题如下A stopriis currently 50. Its volatility is 20% per annum. The risk-free rate is 4% per annum with continuous compounng. Use a two-step tree to termine the value of a six-month Europecall option on the stowith a strike priof 48.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 7.5px Helveticcolor: #453e45}span.s1 {color: #655047}span.s2 {color: #303c63}span.s3 {color: #466b}In this case, u = 1.1052, = 0.9048, anp = 0.5252.The following two-step tree shows ththe value of thep.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #443e45}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #473f46}span.s1 {color: #777575}span.s2 {font: 10.0px Helvetica}span.s3 {font: 8.5px Helvetica}span.s4 {color: #6b5547}span.s5 {color: #4b5a6e}option is 4.511.老师您看我哪里算的不对吗？每次算的时候都和答案有差距
NO.PZ2020021205000011问题如下A stopriis currently 50. Its volatility is 20% per annum. The risk-free rate is 4% per annum with continuous compounng. Use a two-step tree to termine the value of a six-month Europecall option on the stowith a strike priof 48.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 7.5px Helveticcolor: #453e45}span.s1 {color: #655047}span.s2 {color: #303c63}span.s3 {color: #466b} In this case, u = 1.1052, = 0.9048, anp = 0.5252.The following two-step tree shows ththe value of thep.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #443e45}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #473f46}span.s1 {color: #777575}span.s2 {font: 10.0px Helvetica}span.s3 {font: 8.5px Helvetica}span.s4 {color: #6b5547}span.s5 {color: #4b5a6e}option is 4.511.请老师帮忙一下，或者我应该去第几节看这个知识点呀
NO.PZ2020021205000011 为什么u=e^(10%*1)=0.1052 而不是u=e^(20%*sqrt(1/2))? p是怎么算出来的？用公式e^(r^change in t)-(u-里r和change in t分别是多少？为什么？
NO.PZ2020021205000011u,p都算出来了，后面不会了，麻烦老师讲解下
