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janeathena · 2018年09月19日

问一道题：NO.PZ2018062016000095 [ CFA I ]

  1. CFA I
  2. Quantitative

问题如下图：

    

选项：

A.

B.

C.

解释：


请问一下这道题的题干如何理解呢？谢谢

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1 个答案

菲菲_品职助教 · 2018年09月19日

同学你好，这道题目是这么理解的：

有一个两期的二叉树模型，Jack想计算期末的put option的最终价值。现在股价为150，执行价格为120。股价上涨的乘数为1.69，股价下跌的乘数为0.59。（相当于下一年股价上涨的价格为150*1.69=253.5，股价下跌的价格为150*0.59=88.5）。只有当股价低于执行价格时，put option才会有一个positive的价值，否则为0。问最终，即两期后，如解析的图所示，只有一个路径的股价是低于执行价格的，即只有一个路径可以带来positive return，所以选A。

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