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chuziyang · 2022年04月26日

three-step binomial tree

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

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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