Drink H · 2020年02月24日
问题如下：
A stock price is currently 50. Its volatility is 20% per annum. The risk-free rate is 4% per annum with continuous compounding. value an option that pays off max( - 2,400, 0) in six months where S is the stock price. (This is known as a power option.)
解释：
For the power option, the tree becomes as follows, and the value of the option is 408.363.
NO.PZ2020021205000058问题如下A stopriis currently 50. Its volatility is 20% per annum. The risk-free rate is 4% per annum with continuous compounng. value option thpays off max(S2S^2S2 - 2,400, 0) in six months where S is the stoprice. (This is known a power option.) For the power option, the tree becomes follows, anthe value of the option is 408.363.解析power option是一种奇异期权叫做幂期权，他与一般的期权的区别在于，在T时刻，看涨幂期权的价值=max{0，Sn -X}，而不是max{0，S-X}。该期权简单了解即可。对于本题的这个幂期权，其价值=max{S2 -X，0}。具体的二叉树如下 1、老师好，这道题的u（p）和1-p）分别是多少啊？2、红色方框是前往前折现再乘以对应的概率吗？3、折现的利率，折现到0.25段儿是4%乘以0.25，去年化？我计算两个红色方框折现再乘以概率是744，不是738耶4、标准差20%也要去年化吗？还是20%*0.25^0.5就行？
NO.PZ2020021205000058 问题如下 A stopriis currently 50. Its volatility is 20% per annum. The risk-free rate is 4% per annum with continuous compounng. value option thpays off max(S2S^2S2 - 2,400, 0) in six months where S is the stoprice. (This is known a power option.) For the power option, the tree becomes follows, anthe value of the option is 408.363.解析power option是一种奇异期权叫做幂期权，他与一般的期权的区别在于，在T时刻，看涨幂期权的价值=max{0，Sn -X}，而不是max{0，S-X}。该期权简单了解即可。对于本题的这个幂期权，其价值=max{S2 -X，0}。具体的二叉树如下 从哪里得出是二叉树？
NO.PZ2020021205000058问题如下A stopriis currently 50. Its volatility is 20% per annum. The risk-free rate is 4% per annum with continuous compounng. value option thpays off max(S2S^2S2 - 2,400, 0) in six months where S is the stoprice. (This is known a power option.) For the power option, the tree becomes follows, anthe value of the option is 408.363.解析power option是一种奇异期权叫做幂期权，他与一般的期权的区别在于，在T时刻，看涨幂期权的价值=max{0，Sn -X}，而不是max{0，S-X}。该期权简单了解即可。对于本题的这个幂期权，其价值=max{S2 -X，0}。具体的二叉树如下 时间理解有很大的问题，请详细说下这个时间的变动到底如何判断。谢谢。请附上详细解题步骤。二叉树基本计算都错误，原理貌似简单，但是计算不对。
NO.PZ2020021205000058问题如下A stopriis currently 50. Its volatility is 20% per annum. The risk-free rate is 4% per annum with continuous compounng. value option thpays off max(S2S^2S2 - 2,400, 0) in six months where S is the stoprice. (This is known a power option.) For the power option, the tree becomes follows, anthe value of the option is 408.363.解析power option是一种奇异期权叫做幂期权，他与一般的期权的区别在于，在T时刻，看涨幂期权的价值=max{0，Sn -X}，而不是max{0，S-X}。该期权简单了解即可。对于本题的这个幂期权，其价值=max{S2 -X，0}。具体的二叉树如下 第一，这个期权要按欧式还是美式计算，第二，按看涨还是看跌，第三，是按二叉树的算法计算只是最后股价是s的平方，其他做法不变是吗？
NO.PZ2020021205000058 老师，从题目怎么看出来是二阶的二叉树？还是说幂期权定价默认是二阶
