NO.PZ2020021205000010
问题如下:
A stock price is currently 40. At the end of six months it will be either 36 or 44. The risk-free rate is 5% per annum with continuous compounding. What is the value of a six month European put option with a strike price of 40?
选项:
解释:
In this case, u = 44/40 = 1.1 and d = 36/40 = 0.9
so that:
p==0.6266
and the value of the option is
(0.6266 X 0 + 0.3734 x 4) x= 1.4568
In this case, u = 44/40 = 1.1 and d = 36/40 = 0.9