NO.PZ2023020101000021
问题如下：
High Street Investment Management is an
investment subadvisory firm partnering with Registered Investment Advisors to
provide counsel for options trading strategies. Scott Cummins is High Street’s
CEO and chief investment officer. Phyllis Schwartz leads the client
relationship team. David Spelding is a recent college graduate, who just joined
the firm as an analyst. Cummings and Schwartz are conducting an introductory
training session on options pricing, focusing on the binomial option valuation
model (i.e., the binomial model).
Cummins begins the session by listing, in
Exhibit 1, variables and values for a binomial model to illustrate an outcome.
Exhibit
1: Binomial Model Variables and Values
Schwartz states, “The one-period binomial model
is based on the no-arbitrage approach in which an investor does not take any
risk or use his own money. Based on the information in Exhibit 1, the
probability of an up move is 45%. For an investor, the no-arbitrage approach is
similar to both the expectations approach and the discounted cash flow
approach. Each approach is based on the investor’s expectation regarding the
future course of the underlying stock price.”
Is Schwartz’s statement about the one-period
binomial model most likely
correct?
选项：
A.Yes.
No,
she is incorrect about the probability of an up move.
C.
No,
she is incorrect about expectations of future stock prices.
解释：
Schwartz’s statement is incorrect. The
expectations approach is a variation of the no-arbitrage approach to the binomial
model. The results of each are identical. Under the no-arbitrage approach and
the expectations approach, expected options payoffs are a function of a
risk-neutral probability. The investor’s outlook with respect to the future
course of the stock price is not a relevant consideration for the no-arbitrage
approach or the expectations approach. The investor’s outlook with respect to
the future course of the stock price is a relevant consideration for the discounted
cash flow approach to securities valuation.
Schwartz’s statement with respect to the
probability of an up move is correct. The calculation follows:
π=[ FV( 1 )−d ]/( u−d )=[
1.02−0.75 ]/( 1.35−0.75 )=0.27/0.60=0.45=45%
怎么理解“现金流折现法需要考虑投资者对股票价格未来走势的预期，但无套利法和预期法不需要考虑对股票价格未来走势的预期。”？能举个具体例子吗？
