wuzx · 2022年03月08日
NO.PZ2020021205000011
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. Use a two-step tree to determine the value of a six-month European call option on the stock with a strike price of 48.
解释：
In this case, u = 1.1052, d = 0.9048, and p = 0.5252.
The following two-step tree shows that the value of the
option is 4.511.
李坏_品职助教 · 2022年03月08日
嗨，从没放弃的小努力你好：
这是一个欧式期权，所以不需要考虑提前行权。从末端算出来的三个option value（分别是最右边的13.07,2.0和0）开始，把他们乘以各自的概率，然后折现到t0时刻：
option price = (13.07*0.5252*0.5252 + 2*2*0.5252*(1-0.5252)) * exp(-0.04/2)，注意时间是0.5年，所以要把4%的年化利率除以2。
最后算出来option price = 4.511
----------------------------------------------就算太阳没有迎着我们而来，我们正在朝着它而去，加油！
hjk · 2023年03月16日
老师，这题我算的4.57，算对吗
NO.PZ2020021205000011问题如下A stopriis currently 50. Its volatility is 20% per annum. The risk-free rate is 4% per annum with continuous compounng. Use a two-step tree to termine the value of a six-month Europecall option on the stowith a strike priof 48.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 7.5px Helveticcolor: #453e45}span.s1 {color: #655047}span.s2 {color: #303c63}span.s3 {color: #466b}In this case, u = 1.1052, = 0.9048, anp = 0.5252.The following two-step tree shows ththe value of thep.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #443e45}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #473f46}span.s1 {color: #777575}span.s2 {font: 10.0px Helvetica}span.s3 {font: 8.5px Helvetica}span.s4 {color: #6b5547}span.s5 {color: #4b5a6e}option is 4.511.老师您看我哪里算的不对吗？每次算的时候都和答案有差距
NO.PZ2020021205000011问题如下A stopriis currently 50. Its volatility is 20% per annum. The risk-free rate is 4% per annum with continuous compounng. Use a two-step tree to termine the value of a six-month Europecall option on the stowith a strike priof 48.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 7.5px Helveticcolor: #453e45}span.s1 {color: #655047}span.s2 {color: #303c63}span.s3 {color: #466b} In this case, u = 1.1052, = 0.9048, anp = 0.5252.The following two-step tree shows ththe value of thep.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #443e45}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #473f46}span.s1 {color: #777575}span.s2 {font: 10.0px Helvetica}span.s3 {font: 8.5px Helvetica}span.s4 {color: #6b5547}span.s5 {color: #4b5a6e}option is 4.511.请老师帮忙一下，或者我应该去第几节看这个知识点呀
NO.PZ2020021205000011 为什么u=e^(10%*1)=0.1052 而不是u=e^(20%*sqrt(1/2))? p是怎么算出来的？用公式e^(r^change in t)-(u-里r和change in t分别是多少？为什么？
这道题年期只有6个月，为什么还是需要两步法求呢？一步算出结果不精确吗
