NO.PZ2023020101000024
问题如下：
Schwartz then asks Spelding to use the
information in Exhibit 1 to calculate the no-arbitrage value of a two-year
US-style put option, assuming that the option may be exercised in one year.
Exhibit
1: Binomial Model Variables and Values
The no-arbitrage value of a two-year
American-style put option is most
likely closest to:
选项：
A.$12.72.
$13.48.
C.
$13.75.
解释：
The
no-arbitrage approach to calculating the early exercise premium follows. Note
that the two-period binomial model is used to calculate (for purposes of
comparison) the value of the European-style put option and the American-style
put option. The value of the European-style put option is $12.72. The value of
the American-style put option is $13.48. Accordingly, the early exercise
premium is $.76. The calculations follow.
European
Style
American
Style
老师好，请教一下：
1、以上是我的计算过程，我算出来的结果和答案解析里欧式期权是一样的，请问我这个求的是欧式期权吗？
2、答案有点看不懂，请问美式期权的计算过程可以麻烦列一下吗？
3、为什么要求S+，S-，h这些数字呢？我感觉计算期权的过程中没有用到呀，是不是我的计算思路有问题呢。
