No.PZ2021051201000017 (选择题)
来源:
Identify the trading strategy that will generate the payoffs of taking a long position in a call option within a single- period binomial framework:
您的回答B, 正确答案是: B
A
Buy h = (c
+
+c
-
)/(S
+
+ S
-
) units of the underlying and financing of –PV(– hS
-
+c
-
).
B
正确Buy h = (c
+
- c
-
)/(S
+
- S
-
) units of the underlying and financing of –PV(– hS
-
+c
-
).
C
Short sell h = (c
+
– c
-
)/(S
+
– S
-
)) units of the underlying and financing of +PV(–hS
-
+ c
-
).
数据统计(全部)
做对次数: 180
做错次数: 129
正确率: 58.25%
数据统计(个人)
做对次数: 0
做错次数: 0
正确率: 0%
解析
Correct Answer : B.
The following table shows the terminal payoffs to be identical between a call option and buying the underlying with financing.
Recall that by design, h is selected such that –hS- +c- = –hS+ + c+ or h = (c+ – c- )/(S+ – S- ). Therefore, a call option can be replicated with the underlying and financing. Specifically, the call option is equivalent to a leveraged position in the underlying.
考点：衍生- Valuation of Contingent Claims – Binomial Model
,其实没有太理解,忘的太快.如果老师空的话,帮忙指点一下.谢谢
