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四喜丸子 · 2023年08月15日

如题

NO.PZ2022071202000031

问题如下:

Question When working backward from the nodes on a binomial tree diagram, the analyst is attempting to calculate:

选项:

A.the number of potential outcomes. B.the probability of a given scenario. C.an expected value as of today.

解释:

Solution

C is correct. In a tree diagram, a problem is worked backward to formulate an expected value as of today.

A is incorrect because the number of nodes is determined by the number of periods as well as the number of forecasted probabilities per period. These inputs will be used in the model to find the potential outcomes. Working backward will then provide the expected value as of today.

B is incorrect because the probability of a given scenario is estimated by the analyst for use in forecasting ending values.

可以请老师讲解一下这道题吗?

1 个答案

星星_品职助教 · 2023年08月15日

同学你好,

二叉树从后往前逆推(working backward)是对于金融产品的估值过程,也就是计算今天的价值,即C选项。

具体的估值方法在数量里没有讲解,在衍生品和固收科目里会有展开和应用。


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