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绒绒头 · 2019年03月31日

问一道题：NO.PZ2016082404000030

  1. FRM I
  2. Financial Markets And Products

问题如下图：

    

选项：

A.

B.

C.

D.

解释：



请问detla=0.54是怎么算出来的，我根据本题给的信息计算d1=0.377，查表得N(d1)=0.648左右，所以ga感觉答案是A没错，但看到delta=0.54还是困惑了一下。

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品职答疑小助手雍 · 2019年03月31日

同学你好，这题我也算的数字和你一样，所以题目的初衷应该只是估算就ok的，50比strike price高一点点，所以delta应该比0.5略大，到这步基本就可以推出来答案了。当然BSM的计算掌握了更好~

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