NO.PZ2019010402000024
问题如下:
Stock of ABC is currently trading at $48.6. Suppose that volatility is 30% and the continuously compounded risk-free rate is 0.3%. Assume X=45, T=0.25, N(d1) =0.6352 and N(d2)=0.5486. Based on the BSM model, the replicating portfolio for the call can be constructed as:
选项:
A.long 0.6352 shares of ABC stock and short 0.5486 shares of a zero-coupon bond.
B.long 0.5486 shares of ABC stock and short 0.5486 shares of a zero-coupon bond.
C.long 0.6352 shares of ABC stock and short 0.4514 shares of a zero-coupon bond.
解释:
A is correct.
考点:BSM模型的解释
解析:
Call可以看成long N(d1)份的股票,short N(d2)份的零息债券,所以应该选A。
老师 请问BSM下是不是只能是0息债券