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FrankSun · 2020年11月08日

2019年MockB上午110

110 In the binomial model, the difference between the up and down factors best represents the:

A volatility of the underlying.

B moneyness of an option.

C pseudo probability.

A is correct. The volatility of the underlying is captured in the binomial model by the difference between the up and down factors.

B is incorrect. The moneyness of an option is given by the difference between price of the underlying and exercise price.

C is incorrect. The difference between the up and down factors is only one part (the denominator) of the formula for the pseudo probabilities.

老师,pseudo probability是什麽呢?在哪里出现过?谢谢

1 个答案

丹丹_品职答疑助手 · 2020年11月09日

嗨,爱思考的PZer你好:


同学你好,答案解析中其实就是对pseudo probability的解释,我们求出来的πu和πd是基于风险中性的做出来的,并不是真实的上升下降的概率。相关知识点见图


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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!


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