官网题目
Messer replies, “The binomial valuation model can be applied to the two-year European style index call options we purchased one year ago. The applicable underlying instrument is the German Blue Chip Equity price index, which excludes dividends. Exhibit 1 shows the option’s characteristics at the time of purchase.”
EXHIBIT 1
BINOMIAL MODEL VARIABLES
| u | 1.15 |
| d | 0.90 |
| π | 0.52 |
| Index price | EUR 720 |
| Strike price | EUR 750 |
| Hedge ratio | .5697 |
| 1-year interest rate | 3% |
| S– | 648 |
| C– | 0 |
Q. Using the binomial valuation method and the data in Exhibit 1, the price Messer paid one year ago for the call option with a strike price of EUR750 is closest to:
- EUR51.54.
- EUR47.57.
- EUR102.08.
Solution
A is correct. The price of the call option at time 0 was EUR51.5363. The following is the two-step binomial tree:
C is incorrect because it is the value of C+.
B is incorrect because it represents the calculated call value reversing the probabilities of C+ and C−.
答案看不明白， 我算的第二年应该是202/2/1.03，以此类推是47.65，我哪里算错了？
