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chuziyang · 2022年04月26日

three-step binomial tree

  1. CFA I
  2. Quantitative

NO.PZ2017092702000095

问题如下：

A call option on a stock index is valued using a three-step binomial tree with an up move that equals 1.05 and a down move that equals 0.95. The current level of the index is $190, and the option exercise price is $200. If the option value is positive when the stock price exceeds the exercise price at expiration and $0 otherwise, the number of terminal nodes with a positive payoff is:

选项：

A.

one.

B.

two.

C.

three.

解释：

A is correct.

Only the top node value of $219.9488 exceeds $200

請問分裂到219.9488，是因爲題目中「three-step binomial tree」中這句話嗎？所以分裂三次？謝謝

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1 个答案

星星_品职助教 · 2022年04月26日

同学你好，

是因为题干中的“If the option value is positive when the stock price exceeds the exercise price at expiration and $0 otherwise”，所以要直接看到到期的那一期。

一般来说，数量里考察提前行权的概率很低，这是衍生品里的考点。

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