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SHAO · 2023年11月14日

老师，不懂哎，根据公式算出put option value= -6.2022，为什么能算出C选项呀

  1. CFA II
  2. Derivative

NO.PZ2019010402000025

问题如下：

Stock of ABC is currently trading at $48.6. Suppose that volatility is 30% and the continuously compounded risk-free rate is 0.3%. Assume X=45, T=0.25, N(d1) =0.6352 and N(d2)=0.5486. Based on the BSM model, the value of put option is:

选项：

A.

$3.586

B.

$6.202

C.

$2.568

解释：

C is correct.

考点：用BSM模型估值

解析：

公式：BSM price of a put option is p = e–rt XN(–d2) – SN(–d1).

其中N(–d1) = 1 – N(d1) = 1 – 0.6352 , and N(–d2) = 1 – N(d2) = 1 – 0.5486.

Put option = 45e−0.003×0.25 (1 – 0.5486) - 48.6(1 – 0.6352) = $2.568

老师，不懂哎，根据公式put option value= -6.2022，为什么能算出C选项呀

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李坏_品职助教 · 2023年11月14日

嗨，从没放弃的小努力你好：


是不是代错数字了？

put option的价值p，计算如下：


注意N(-d2) = 1-N(d2) = 1-0.5486 = 0.4514.

N(-d1) = 1-N(d1) = 0.3648.


p = e^(-0.3%*0.25)*45*0.4514 - 48.6 * 0.3648 = 2.568

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ2019010402000025 问题如下 Stoof Ais currently trang $48.6. Suppose thvolatility is 30% anthe continuously compounrisk-free rate is 0.3%. Assume X=45, T=0.25, N() =0.6352 anN()=0.5486. Baseon the BSM mol, the value of put option is: $3.586 $6.202 $2.568 C is correct.考点用BSM模型估值解析公式BSM priof a put option is p = e–rt XN(–) – SN(–).其中N(–) = 1 – N() = 1 – 0.6352 , anN(–) = 1 – N() = 1 – 0.5486.Put option = 45e−0.003×0.25 (1 – 0.5486) - 48.6(1 – 0.6352) = $2.568 如题

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NO.PZ2019010402000025 问题如下 Stoof Ais currently trang $48.6. Suppose thvolatility is 30% anthe continuously compounrisk-free rate is 0.3%. Assume X=45, T=0.25, N() =0.6352 anN()=0.5486. Baseon the BSM mol, the value of put option is: $3.586 $6.202 $2.568 C is correct.考点用BSM模型估值解析公式BSM priof a put option is p = e–rt XN(–) – SN(–).其中N(–) = 1 – N() = 1 – 0.6352 , anN(–) = 1 – N() = 1 – 0.5486.Put option = 45e−0.003×0.25 (1 – 0.5486) - 48.6(1 – 0.6352) = $2.568 如题

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