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Bigfish · 2022年09月22日

解析中的公式问题？

  1. CFA I
  2. Derivative

NO.PZ2018062007000077

问题如下：

To determine the price of an option today, the binomial model requires:

选项：

A.

selling one put and buying one offsetting call.

B.

buying one unit of the underlying and selling one matching call.

C.

using the risk- free rate to determine the required number of units of the underlying.

解释：

C is correct. Pricing an option relies on the facts that a perfectly hedged investment earns the risk- free rate and that, based on the binomial option pricing model, the size of the two possible changes in the option price (meaning the potential step up or step down in the option value) after one period are equivalent.

中文解析：

本题考察的是用hedged portfolio 的方法对二叉树进行定价。涉及的知识点如下面讲义及板书截图，注意V0 =hS0 -c0, 其中short call=long stock - short rf


板书截图中rf=long stock+short call推导出的为什么不是long call=long stock+short rf？

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1 个答案

Lucky_品职助教 · 2022年09月26日

嗨，从没放弃的小努力你好：


同学你好，我确认了一下，这里是老师板书有误，谢谢提醒

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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