开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

Biubiu · 2021年04月04日

老师 请问BSM下是不是只能是0息债券

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

1 个答案
已采纳答案

WallE_品职答疑助手 · 2021年04月04日

嗨,努力学习的PZer你好:



是的哈,BSM中的债券都是0息债券。(咱们现实中,公司会改良BSM模型,把coupon也考虑进去,但这不是咱们考试应该考虑的)

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