NO.2023091802000133

其它问题距离上一个同学的反馈已经过去了9个月，把题干贴过来也不是很难的事情吧~ 助教：这道题是一个系列题，题目条件承接的是前面题号2023091802000131的题目。

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pzqa39 · 2025年04月27日

嗨，努力学习的PZer你好：

感谢指正，已完善题目~

An analyst is pricing a 2-year European put option on a non-dividend-paying stock using a binomial tree with two time steps of one year each. The stock price is currently USD 38, and the strike price of the put is USD 40. Assuming that the annual risk-free rate will remain constant at 2% over the next two years and the annual stock volatility is 15%。The risk neutral probability of an up move is 57.61% (calculated in the previous question).

The no-arbitrage price of the option is closest to:

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努力的时光都是限量版，加油！

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NO.PZ2023091802000133 问题如下 The no-arbitrage priof the option is closest to: A.US2.00 B.US2.93 C.US5.22 US5.86 The risk neutrprobability of up move is 57.61% (calculateinthe previous question). The figure shows the stoprianthe respective option value ateano. the finnos the value is calculatem(0, K – S).No (0.5761 × 0 + 0.4239 × 4) × exp(-0.12× 3/12) = 1.65, whiis greater ththe intrinsic value of the option thisno equto max(0, 52 – 60) = 0, so the option shoulnot exerciseearlythis no. No (0.5761 × 4 + 0.4239 × 20) × exp(-0.12× 3/12) = 10.46, whiis lower ththe intrinsic value of the option thisno equto max(0, 52 – 40) = 12, so the option shoulexerciseearly atno anthe value of the option no C is 12. No (0.5761 × 1.65 + 0.4239 × 12) ×exp(-0.12 × 3/12) = 5.86, whiis greater ththe intrinsic value of theoption this no equto max(0, 52 – 50) = 2, so the option shoulnot beexerciseearly this no. 老师您好，这题没有给数据条件

2024-07-23 13:19 1 · 回答