NO.PZ2020021205000058
问题如下:
A stock price is currently 50. Its volatility is 20% per annum. The risk-free rate is 4% per annum with continuous compounding. value an option that pays off max( - 2,400, 0) in six months where S is the stock price. (This is known as a power option.)
解释:
For the power option, the tree becomes as follows, and the value of the option is 408.363.
只看到文字了,答案不全