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苏·Xu · 2022年01月10日

问

  1. CFA I
  2. Derivative

NO.PZ2018062007000077

问题如下：

To determine the price of an option today, the binomial model requires:

选项：

A.

selling one put and buying one offsetting call.

B.

buying one unit of the underlying and selling one matching call.

C.

using the risk- free rate to determine the required number of units of the underlying.

解释：

C is correct. Pricing an option relies on the facts that a perfectly hedged investment earns the risk- free rate and that, based on the binomial option pricing model, the size of the two possible changes in the option price (meaning the potential step up or step down in the option value) after one period are equivalent.

中文解析：

本题考察的是用hedged portfolio 的方法对二叉树进行定价。涉及的知识点如下面讲义及板书截图，注意V0 =hS0 -c0, 其中short call=long stock - short rf


题目问的是price, 解析给的不是value 吗？

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1 个答案

lynn_品职助教 · 2022年01月10日

嗨，努力学习的PZer你好：


基于衍生品定价的无套利假设，衍生品的price就等于其value，因为如果不等，投机者也会通过套利，使得衍生品的市场价格趋于其价值。

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努力的时光都是限量版，加油！

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