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Shuangshuang · 2020年10月14日

问一道题：NO.PZ2020021203000076 [ FRM I ]

  1. FRM I
  2. Financial Markets And Products

问题如下：

The current price of a non-dividend-paying stock is USD 29 and the price of a four-month call option on the stock with a strike price of USD 30 is USD 2. The risk-free rate is 4% per annum (annually compounded). What is the price of a four-month put option on the stock with a strike price of USD 30? Assume no arbitrage opportunities exist.

解释：

By put-call parity:

Put = Call + PV(K) - S,

the put price (USD) is thus given by:

2+301.041/3−29=2.612+\frac{30}{1.04^{1/3}}-29=2.61

求第四个月的put price为什么不用四个月的值呢？为什么都变成了现值？
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1 个答案

品职答疑小助手雍 · 2020年10月15日

嗨，从没放弃的小努力你好：


这就是期权平价公式的定义式啊。

相当于你在未来要以X价格行权，为了这个X，你现在买了个国债。那这个国债的现值是PV（X）


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努力的时光都是限量版，加油！


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NO.PZ2020021203000076问题如下The current priof a non-vinpaying stois US29 anthe priof a four-month call option on the stowith a strike priof US30 is US2. The risk-free rate is 4% per annum (annually compoun. Whis the priof a four-month put option on the stowith a strike priof US30? Assume no arbitrage opportunities exist. put-call parity:Put = Call + PV(K) - S,the put pri(US is thus given by:2+301.041/3−29=2.612+\frac{30}{1.04^{1/3}}-29=2.612+1.041/330​−29=2.61能否详细一下 1/3是怎么来的，四个月，直接按一年算可以吗，谢谢

2024-04-28 13:55 1 · 回答