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Daenerys · 2021年03月29日

关于S-

  1. CFA II
  2. Derivative

NO.PZ2019010402000016

问题如下：

A manager wants to price a put option by one-period binomial tree. The relative information is as follows:

  • ŸThe current stock price is $30, exercise price of put option is $30
  • ŸThe up factor is 1.12, and the down factor is 0.92
  • ŸThe risk-free rate is 5%.

The hedge ratio is:

选项：

A.

-0.4

B.

-0.45

C.

-0.6

解释：

A is correct.

考点：hedge ratio

解析：

Put的hedge ratio =h=p+−p−S+−S−h=\frac{\text{p}^+-\text{p}^-}{S^+-S^-}

其中p+=max(0, X-S+)=max(0,30-30×1.12)=0，p-=max(0, X-S-)=max(0,30-30×0.92)=2.4

所以h=p+−p−S+−S−=0−2.433.6−27.6=−0.4h=\frac{\text{p}^+-\text{p}^-}{S^+-S^-}=\frac{0-2.4}{33.6-27.6}=-0.4

S-不能用32吗，要用27.6

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1 个答案

WallE_品职答疑助手 · 2021年03月30日

嗨，努力学习的PZer你好：


你这32是怎么来的？


S+=S*up factor=30*1.12=33.6

S-=S*down factor=30*0.92=27.6

----------------------------------------------
努力的时光都是限量版，加油！

Daenerys · 2021年03月30日

说错了 用30的执行价格

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NO.PZ2019010402000016问题如下 A manager wants to pria put option one-periobinomitree. The relative information is follows: The current stopriis $30, exercise priof put option is $30 The up factor is 1.12, anthe wn factor is 0.92 The risk-free rate is 5%.The hee ratio is: A.-0.4B.-0.45C.-0.6 A is correct.考点hee ratio解析Put的hee ratio h=p+ -p- /s+ -s-其中p+=max(0, X-S+)=max(0,30-30×1.12)=0，p-=max(0, X-S-)=max(0,30-30×0.92)=2.4s+其中=30*1.12=33.6s-=30*0.92=27.6 h=p+ -p- /s+ -s-=0-2.4 /33.6-27.6=-0.4 Put的价格2.4不用除1.05往前折一期吗

2022-11-08 15:14 1 · 回答

NO.PZ2019010402000016问题如下 A manager wants to pria put option one-periobinomitree. The relative information is follows: The current stopriis $30, exercise priof put option is $30 The up factor is 1.12, anthe wn factor is 0.92 The risk-free rate is 5%.The hee ratio is: A.-0.4 B.-0.45 C.-0.6 A is correct.考点hee ratio解析Put的hee ratio h=p+ -p- /s+ -s-其中p+=max(0, X-S+)=max(0,30-30×1.12)=0，p-=max(0, X-S-)=max(0,30-30×0.92)=2.4s+其中=30*1.12=33.6s-=30*0.92=27.6 h=p+ -p- /s+ -s-=0-2.4 /33.6-27.6=-0.4 如果用这个公式，p0=(0.35*2.4)/(1+5%)=0.8,p-=2.4,s0=30,s-=27.6,h=(0.8-2.4)/(30-27.6)=-0.67，请问这么想的话，哪里错了呢？

2022-04-14 16:18 1 · 回答