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Lay You Lum · 2020年07月12日

问一道题：NO.PZ2018062016000095 [ CFA I ]

  1. CFA I
  2. Quantitative

问题如下：

Using two-period binomial model, Jack wants to calculate the terminal value of a put option. If the current price of the underlying asset is $150 and the strike price is $120, the size of an up move is 1.69 and a down move is 0.59. Only when the price is below the strike price can the option has a positive value, otherwise the value will be zero. How many terminal nodes can give back positive return？

选项：

A.

1

B.

2

C.

0

解释：

A is correct. Only the third node has a value less than $120, which is $52.22.

这道题目怎么理解呀？

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星星_品职助教 · 2020年07月12日

同学你好，

这个问题太泛了，可以听一下基础班“Discrete Distribution: Uniform Distribution and Binomial distribution”这一节下binomial tree的知识点，有类似的例题，如果还有问题可以就具体问题进行追问或重新提问

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