NO.PZ2020021205000014
问题如下:
Use a two-step tree to value a one-year American call option on an index. The current value of the index is 2,000, the risk-free rate is 2%, and the dividend yield on the index is 3%. The strike price is 1,900 and the volatility is 22% per annum.
解释:
The tree is shown as follows. The option is exercised
early at node A. The value of the option is 216.67.
A点up选择执行436.63,down不执行44.08, 那往0点折现的时候,为什么最后选择用up不执行的价格和down不执行的价格折现?