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Emmmmmmmua · 2022年02月13日

上行概率P

NO.PZ2020021205000016

问题如下:

Use a two-step tree to value an eight-month American put option on a futures contract. The current futures price is 58 and the risk-free rate is 5%. The strike price is 60 and the volatility is 24% per annum.

选项:

解释:

The option is exercised at node A. The value today is 5.478


u= 1.1486

d= 0.8706

没错


p = (exp(0.05/3)-d) / (u-d) = 0.5259


为什么答案算出来的概率和我算的不一样

Emmmmmmmua · 2022年02月13日

我知道了 这题是futures p = (1-d) / (u-d)

1 个答案
已采纳答案

DD仔_品职助教 · 2022年02月13日

嗨,爱思考的PZer你好:


同学你好,

是的,详情请见讲义462页。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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