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小王爱学习 · 2022年03月24日

答案后两行是乱码,请老师更正。

NO.PZ2020021205000030

问题如下:

The futures price of an asset is USD 20, and the volatility of the futures price is 30%. Calculate the value of a put option to sell futures in three months for USD 22. The risk-free rate is 4%.

选项:

解释:

In this case F0 = 20, K = 22, r = 0.04, u = 0.3,

T = 0.25, and Equation (15.13) gives

d,=ln(20/22)  +  (0.32/2)  X  0.250.30.25\frac{\ln(20/22)\;+\;(0.3^2/2)\;X\;0.25}{0.3\sqrt{0.25}}= -0.5604

d2 =ln(20/22)    (0.32/2)  X  0.250.30.25\frac{\ln(20/22)\;-\;(0.3^2/2)\;X\;0.25}{0.3\sqrt{0.25}}= -0.7104

p=22</span>e0.040.25e^{-0.04\ast0.25}N(O.71O4)

- 20<span>e0.040.25e^{-0.04\ast0.25}N(O.56O4) = 2.48

答案后两行是乱码,请老师更正。

1 个答案

DD仔_品职助教 · 2022年03月25日

嗨,爱思考的PZer你好:


同学你好,

谢谢,已经收到反馈,具体答案直接把数字带入下面的公式即可:

put =22*EXP(-4%*0.25)*N(0.7104)-20*EXP(-4%*0.25)*N(0.5604)

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