正好 · 2024年02月29日
NO.PZ2020021205000015
问题如下：
Use a two-step tree to value a six-month American put option on a foreign currency for a US investor. The current value of the currency is USD 1.3000, the US risk-free rate is 3%, and the foreign risk-free rate is 5%. The strike price is 1.3200, and the volatility is 14% per annum.
解释：
In this case, there is no early exercise. The value of the option per unit of foreign currency is 0.0669.
老师为什么是有e的（3%-5%）次方？这个是什么意思？
NO.PZ2020021205000015问题如下 Use a two-step tree to value a six-month Americput option on a foreign currenfor a US investor. The current value of the currenis US1.3000, the US risk-free rate is 3%, anthe foreign risk-free rate is 5%. The strike priis 1.3200, anthe volatility is 14% per annum.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 7.5px Helveticcolor: #484046}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 7.5px Helveticcolor: #443e45}span.s1 {color: #466b}span.s2 {color: #675248}span.s3 {color: #48525f}span.s4 {color: #665047}In this case, there is no early exercise. The value of the option per unit of foreign currenis 0.0669.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #464248}span.s1 {color: #303c63}span.s2 {color: #466b}外币和本币的换算只适用于第一步是为什么？
NO.PZ2020021205000015看了之前提问老师手写答案，以及教材例题，还是没懂q这步骤和之后是要算什么？麻烦老师讲一下解思路
老师你好，这题能写出解题过程吗？我分别用美元和外币的无风险利率都算不出结果
