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13995173783 · 2023年07月14日

u和p不是应该用e^波动*德尔塔T开方吗?

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=e0.050.50.91.1    0  .9\frac{e^{0.05\ast0.5}-0.9}{1.1\;-\;0\;.9}=0.6266

and the value of the option is

(0.6266 X 0 + 0.3734 x 4) xe0.050.5e^{-0.05\ast0.5}= 1.4568

In this case, u = 44/40 = 1.1 and d = 36/40 = 0.9

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pzqa27 · 2023年07月14日

嗨,从没放弃的小努力你好:


您说的很对,可是这个题并没有给出相关的股票波动率,所以我们只能另辟蹊径,使用U和D的定义式去计算

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NO.PZ2020021205000010问题如下A stopriis currently 40. the enof six months it will either 36 or 44. The risk-free rate is 5% per annum with continuous compounng. Whis the value of a six month Europeput option with a strike priof 40?p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 7.5px Helveticcolor: #444047}span.s1 {color: #664f47}span.s2 {color: #466b}span.s3 {color: #3a3035}In this case, u = 44/40 = 1.1 an= 36/40 = 0.9p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #443e44}span.s1 {color: #757374}span.s2 {font: 10.0px Helvetica}so that:p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #585458}p=e0.05∗0.5−0.91.1  −  0  .9\frac{e^{0.05\ast0.5}-0.9}{1.1\;-\;0\;.9}1.1−0.9e0.05∗0.5−0.9​=0.6266anthe value of the option isp.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #484046}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #534f}span.s1 {color: #6b5547}(0.6266 X 0 + 0.3734 x 4) xe−0.05∗0.5e^{-0.05\ast0.5}e−0.05∗0.5= 1.4568p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #534f}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #3f393f}6months为何r不用除2,不是应该2.5%?

2024-04-02 22:13 1 · 回答

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2022-04-20 21:28 1 · 回答

老师好。问一下 In this case, u = 44/40 = 1.1 an= 36/40 = 0.9 是怎么来的

2020-03-07 15:15 1 · 回答