这题答案是不是有问题?自己推了一下 感觉选A
问题如下图:
选项:
A.
B.
C.
解释:
NO.PZ201602270200001804 问题如下 4. Baseon the information in Exhibits 3 an4, the bonpriin euros No 1–2 in Exhibit 4 is closest to: A.105.2917. B.104.8640. C.102.7917. C is correct.The value of a bona particulno, in this case No 1–2, crivetermining the present value of the coupon payment anexpectefuture bonvalues to the right of thno on the tree. In this case, those two nos are the mile no in Ye2, equto 101.5168, anthe lower no in Ye2, equto 102.1350. The coupon payment is 2.5. The bonvalue No 1–2 is calculatefollows: Value = 0.5 × [ (101.5186/1.014925 + 102.1350/1.014925) ] + 2.5/1.014925 = 102.7917. 这个利率折现为什么不是一个是0.25,一个是0.5,怎么两个都是0.5的概率折现,都第三个分叉了。
NO.PZ201602270200001804 这道题哪里有说 bon是 pripar? 那怎么知道coupon = 2.5%
NO.PZ201602270200001804 这道题是不是少条件啊,看不到Exhibit 4具体的表
coupon 2.5也需要折现吗
能否用No2-1= No2-2 * e^0.2 来求?计算结果为什么不对呢?