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中二 · 2019年04月21日

问一道题:NO.PZ2016082404000030 [ FRM I ]

问题如下图:

选项:

A.

B.

C.

D.

解释:

不是……这种要求N(d1)又不给分位点查表数据的题,遇上了该怎么算啊?
1 个答案

品职答疑小助手雍 · 2019年04月21日

同学你好,考试时候会给正态分布表的。不过这道题比较特殊,因为目前股价和strike price很接近,ATM的option 的delta大致在0.5左右,直接用0.5带入计算,然后找一个近的答案就可以了,这题的选项数值差距还挺大的,比较好选。当然深度实值的期权会约等于1,虚值的离0比较近。

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