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kevinzhu · 2019年11月07日

问一道题：NO.PZ2018062016000095

  1. CFA I
  2. Quantitative

问题如下：

Using two-period binomial model, Jack wants to calculate the terminal value of a put option. If the current price of the underlying asset is $150 and the strike price is $120, the size of an up move is 1.69 and a down move is 0.59. Only when the price is below the strike price can the option has a positive value, otherwise the value will be zero. How may terminal nodes can give back positive return？

选项：

A.

1

B.

2

C.

0

解释：

A is correct. Only the third node has a value less than $120, which is $52.22.

完全没有考点，请解释一下题目和答案

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1 个答案

星星_品职助教 · 2019年11月08日

同学你好，

这道题是二项分布底下的一个小知识点，二叉树。如果完全没概念的话，建议先去听一下视频，然后再试着去做一下这道题。这样收益才会最大化。

如果听了觉得还是很困惑的话可以继续追问哈~最好能说一下哪个点不懂，可以针对性的讲一下。加油

kevinzhu · 2019年11月08日

88.5<120，那为啥不是1 node呢？

星星_品职助教 · 2019年11月09日

这道题求的是terminal value，也就是两年后到期时候的值。数量里的二叉树很简单，涉及期权的提前行权等知识点会在衍生品里考察。数量里只需要简单计算即可，加油，如果还有问题可以继续追问哈~

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