jecci · 2021年11月04日
NO.PZ2019010402000021
问题如下：
A manager plans to estimate the value of American-style put option by using two-period binomial model. The current stock price is $32, and exercise price of put option is $32.The up factor is 1.12, and the down factor is 0.92. The risk-free rate is 5%. The value of this put option is:
选项：
A. 0.5461
B. 0.8533
C. 1.0432
解释：
B is correct.
考点：二叉树求value
解析：
画二叉树
这一题是美式期权，在t=1时执行，put的价值更高（=32-29.44=2.56），所以投资者会选择提前执行。此时
请问1.6384和0.5461是什么
NO.PZ2019010402000021问题如下A manager plans to estimate the value of American-style put option using two-periobinomimol. The current stopriis $32, anexercise priof put option is $32.The up factor is 1.12, anthe wn factor is 0.92. The risk-free rate is 5%. The value of this put option is:A.0.5461B.0.8533C.1.0432B is correct.考点二叉树求value解析πu=1+Rf−−1+5%−0.921.12−0.92=0.65\pi\text{u}=\frac{1+R_f-{u-=\frac{1+5\%-0.92}{1.12-0.92}=0.65πu=u−+Rf−=1.12−0.921+5%−0.92=0.65画二叉树这一题是美式期权，在t=1时执行，put的价值更高（=32-29.44=2.56），所以投资者会选择提前执行。此时P0=2.56×0.35+0×0.651.05=0.8533P_0=\frac{2.56\times0.35+0\times0.65}{1.05}=0.8533P0=1.052.56×0.35+0×0.65=0.85331.p＋＋、p＋-和p--的公式是什么？2.请在纸上写一下完整过程，越详细越好。
NO.PZ2019010402000021 问题如下 A manager plans to estimate the value of American-style put option using two-periobinomimol. The current stopriis $32, anexercise priof put option is $32.The up factor is 1.12, anthe wn factor is 0.92. The risk-free rate is 5%. The value of this put option is: A.0.5461 B.0.8533 C.1.0432 B is correct.考点二叉树求value解析πu=1+Rf−−1+5%−0.921.12−0.92=0.65\pi\text{u}=\frac{1+R_f-{u-=\frac{1+5\%-0.92}{1.12-0.92}=0.65πu=u−+Rf−=1.12−0.921+5%−0.92=0.65画二叉树这一题是美式期权，在t=1时执行，put的价值更高（=32-29.44=2.56），所以投资者会选择提前执行。此时P0=2.56×0.35+0×0.651.05=0.8533P_0=\frac{2.56\times0.35+0\times0.65}{1.05}=0.8533P0=1.052.56×0.35+0×0.65=0.8533 如题
NO.PZ2019010402000021 问题如下 A manager plans to estimate the value of American-style put option using two-periobinomimol. The current stopriis $32, anexercise priof put option is $32.The up factor is 1.12, anthe wn factor is 0.92. The risk-free rate is 5%. The value of this put option is: A.0.5461 B.0.8533 C.1.0432 B is correct.考点二叉树求value解析πu=1+Rf−−1+5%−0.921.12−0.92=0.65\pi\text{u}=\frac{1+R_f-{u-=\frac{1+5\%-0.92}{1.12-0.92}=0.65πu=u−+Rf−=1.12−0.921+5%−0.92=0.65画二叉树这一题是美式期权，在t=1时执行，put的价值更高（=32-29.44=2.56），所以投资者会选择提前执行。此时P0=2.56×0.35+0×0.651.05=0.8533P_0=\frac{2.56\times0.35+0\times0.65}{1.05}=0.8533P0=1.052.56×0.35+0×0.65=0.8533 t=2时put value有4.915*0.35比t=1时刻更高 为什么不能在T=2行权再折现到t=0呢？
为什么这道题就不考虑假设t=1时刻行权情况下，s+情况下p的时间价值？
