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Jessietri · 2025年05月03日

Why the answer here use simple discounting?

NO.PZ2024061801000052

问题如下:

Consider a one-year European put option that is currently valued at $5 on a $25 stock and a strike of $27.50. The one-year risk-free rate is 6%. Which of the following amounts is closest to the value of the corresponding call option?

选项:

A.

$0.00.

B.

$3.89.

C.

$4.06.

D.

$5.00.

解释:

c = p PV(X) + S0 = $5 ($27.50 / 1.06) + $25 = $4.06

Consider a one-year European put option that is currently valued at $5 on a $25 stock and a strike of $27.50. The one-year risk-free rate is 6%. Which of the following amounts is closest to the value of the corresponding call option?

您的回答C, 正确答案是: C

A

$0.00.

B

$3.89.

C

正确$4.06.

D

$5.00.

数据统计(全部)

做对次数: 35

做错次数: 5

正确率: 87.50%

数据统计(个人)

做对次数: 1

做错次数: 0

正确率: 100.00%

解析

c = p − PV(X) + S0 = $5 − ($27.50 / 1.06) + $25 = $4.06


Why the answer here is not using Continuous Compounding, e^(-rT) to calculate? Thank you

1 个答案

李坏_品职助教 · 2025年05月03日

嗨,努力学习的PZer你好:


这道题给了你put option的条件,让你求出call optino的value,这个考点是put call parity:

按照公式的确应该用e^(-rT) , 但是,在时间很短的情况下(1年之内),e^(-rT) 的折现与离散复利的结果是很接近的,所以也可以直接用离散复利得出近似的结果。

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