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🌅 🌅多吉旺珍🌞🌞 · 2020年07月24日

问一道题:NO.PZ2018062016000094

问题如下:

Using one-period binomial model, Jack calculated that the terminal value of a stock is $55, if the current price is $50, the size of an up move is 1.25 and a down move is 0.8. The probability of a down move that Jack picked is:

选项:

A.

0.50

B.

0.67

C.

0.33

解释:

C is correct. The probability of an up move is p, then the probability of a down move is (1-p). Draw the equation that (p)uS + (1 – p)dS = (p)×50×1.25+ (1 – p)×50×0.8 = 55. Solving the equation, p = 0.67, so (1-p) = 0.33.

又是一道题目和解析看不懂的题


1 个答案

星星_品职助教 · 2020年07月24日

同学你好,

根据题干信息,目前股价是50,下一期up move的股价是50*1.25;down move的股价是50*0.8

如果把up move的概率设为p的话,那么down move的对应概率即为1-p。

题干中已知terminal value为55,所以p×50×1.25+ (1 – p)×50×0.8 = 55,求得p=0.67,即可得到1-p=0.33

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