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.
解析:
power option是一种奇异期权叫做幂期权,他与一般的期权的区别在于,在T时刻,看涨幂期权的价值=max{0,Sn -X},而不是max{0,S-X}。该期权简单了解即可。
对于本题的这个幂期权,其价值=max{S2 -X,0}。具体的二叉树如下:
老师,从题目怎么看出来是二阶的二叉树?还是说幂期权定价默认是二阶