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小唐超学霸 · 2024年11月10日

老师，为什么e的次方上面Rf要乘以0.25？

  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

如题

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李坏_品职助教 · 2024年11月10日

嗨，从没放弃的小努力你好：


0.3%这个是连续复利的年化利率，

而题目给出的期限是T=0.25，


所以代入公式的时候是e的-rf * 0.25次方。


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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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