pengyaning · 2023年10月22日
NO.PZ2023091802000130
问题如下：
A trader holds a 1-year American put option with a strike price of USD 100 on a stock currently trading at USD 85. To value the option, a one-stop binomial tree is used where the stock price can move up or down by USD 10 in the 1-year period. If the risk-neutral probability of the stock moving up is 81% and the risk free rate is 6% per year. What is the current value of the American put?
选项：
A.USD 8.29
B.USD 15.00
C.USD 17.01
D.USD 19.97
解释：
求此题的计算过程
NO.PZ2023091802000130 问题如下 A trar hol a 1-yeAmericput option with a strike priofUS100 on a stocurrently trang US85. To value the option, a one-stopbinomitree is usewhere the stopricmove up or wn US10 inthe 1-yeperio If the risk-neutrprobability of the stomoving up is81% anthe risk free rate is 6% per year. Whis the current value of theAmericput? A.US8.29 B.US15.00 C.US17.01 US19.97 P=81%×5+19%×25e6%×1=8.29P=\frac{81\%\times5+19\%\times25}{e^{6\%\times1}}=8.29P=e6%×181%×5+19%×25=8.29由于是美式期权，可以提前行权，提前行权后可以获得100-85=15元15 8.29,因此选择提前行权 S0=现在交易市场价格=85S1=1年期看跌美式执行价格=行权价100p=执行价格-市场价格100-85=15 这个p代表什么 含义，这个美式看跌期权内在价值有没有通俗易懂的话语表达 不理解1年后的价格85+10=95 100-95=585-10=75 100-75=25已知股票上涨的风险中性概率为81% ，下跌概率为=100=81%=19%然后那个P的81%*5...的这个公式是哪个公式啊 ，可以写出来嘛，这个公式的P是行权价的意思嘛 然后15大于8.29的话，感觉自己没有学懂是在干什么。。
NO.PZ2023091802000130 问题如下 A trar hol a 1-yeAmericput option with a strike priofUS100 on a stocurrently trang US85. To value the option, a one-stopbinomitree is usewhere the stopricmove up or wn US10 inthe 1-yeperio If the risk-neutrprobability of the stomoving up is81% anthe risk free rate is 6% per year. Whis the current value of theAmericput? A.US8.29 B.US15.00 C.US17.01 US19.97 P=81%×5+19%×25e6%×1=8.29P=\frac{81\%\times5+19\%\times25}{e^{6\%\times1}}=8.29P=e6%×181%×5+19%×25=8.29由于是美式期权，可以提前行权，提前行权后可以获得100-85=15元15 8.29,因此选择提前行权
