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Ryoooh · 2020年06月30日

问一道题：NO.PZ2020021205000011 [ FRM I ]

  1. FRM I
  2. Financial Markets And Products

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.

这道题年期只有6个月，为什么还是需要两步法求呢？一步算出结果不精确吗
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1 个答案

品职答疑小助手雍 · 2020年06月30日

用几步求和期限没关系，甚至可以把时间无限细分，也就是就算是1个月的期限也可以分成很多节点求，二叉树只是为蒙特卡洛做一下准备，步数越多最后的分布越准。

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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

2024-06-27 14:07 2 · 回答

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2022-03-28 10:05 1 · 回答

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？

2022-03-11 05:20 1 · 回答

NO.PZ2020021205000011u,p都算出来了，后面不会了，麻烦老师讲解下

2022-03-08 00:16 3 · 回答