问题如下:
A stock is priced at $100.00 and follows a one-period binomial process with an up move that equals 1.05 and a down move that equals 0.97. If 1 million Bernoulli trials are conducted, and the average terminal stock price is $102.00, the probability of an up move (p) is closest to:
选项:
A.0.375.
B.0.500.
C.0.625.
解释:
C is correct.
The probability of an up move (p) can be found by solving the equation: (p)uS + (1 – p)dS = (p)105 + (1 – p)97 = 102. Solving for p gives 8p = 5, so that p = 0.625.
是因为求up move 所以 P与105相乘,那down就是1-P?反之如果求down move的probability就反过来?