开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

为了求职冲呀 · 2020年03月08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 many 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.

老师您好，为什么在150✖️了1.69和0.59后还继续对得到的253.5以及88.5做了一个上涨和下降的相乘呢？不是应该在150x1.69=，150x0.59后就可以得出答案了吗？

添加评论
1 个答案

星星_品职助教 · 2020年03月09日

同学你好，

这道题是两阶段二叉树（ two-period binomial model），所以需要做两次。你提到的方法是之前的一阶二叉树，只需要做一次。

这个知识点在衍生里还会遇到。

  • 1

    回答

  • 0

    关注

  • 410

    浏览
相关问题

NO.PZ2018062016000095 问题如下 Using two-periobinomimol, Jawants to calculate the terminvalue of a put option. If the current priof the unrlying asset is $150 anthe strike priis $120, the size of up move is 1.69 ana wn move is 0.59. Only when the priis below the strike pricthe option ha positive value, otherwise the value will zero. How many terminnos cgive bapositive return？ A.1 B.2 C.0 A is correct. Only the thirno ha value less th$120, whiis $52.22. \"cgive bapositive return\"是指期权本身是positive return吗？因为只有2个nos是行权了，所以这时期权return是positive？

2023-04-17 10:44 1 · 回答

NO.PZ2018062016000095问题如下 Using two-periobinomimol, Jawants to calculate the terminvalue of a put option. If the current priof the unrlying asset is $150 anthe strike priis $120, the size of up move is 1.69 ana wn move is 0.59. Only when the priis below the strike pricthe option ha positive value, otherwise the value will zero. How many terminnos cgive bapositive return？A.1B.2C.0A is correct. Only the thirno ha value less th$120, whiis $52.22.​讲课里不是说二叉树不考吗，稍微带过了，为什么习题里有，所以到底是不是考试范围

2023-02-08 00:40 1 · 回答

NO.PZ2018062016000095 问题如下 Using two-periobinomimol, Jawants to calculate the terminvalue of a put option. If the current priof the unrlying asset is $150 anthe strike priis $120, the size of up move is 1.69 ana wn move is 0.59. Only when the priis below the strike pricthe option ha positive value, otherwise the value will zero. How many terminnos cgive bapositive return？ A.1 B.2 C.0 A is correct. Only the thirno ha value less th$120, whiis $52.22. 不是经过了两轮了吗？为什么不是2。请老师解答一下谢谢

2022-12-08 10:04 1 · 回答

NO.PZ2018062016000095问题如下Using two-periobinomimol, Jawants to calculate the terminvalue of a put option. If the current priof the unrlying asset is $150 anthe strike priis $120, the size of up move is 1.69 ana wn move is 0.59. Only when the priis below the strike pricthe option ha positive value, otherwise the value will zero. How many terminnos cgive bapositive return？A.1B.2C.0A is correct. Only the thirno ha value less th$120, whiis $52.22.请问一般就是三期吗？还是说算到上下有交叉值了结束啊

2022-11-30 18:05 1 · 回答

NO.PZ2018062016000095问题如下Using two-periobinomimol, Jawants to calculate the terminvalue of a put option. If the current priof the unrlying asset is $150 anthe strike priis $120, the size of up move is 1.69 ana wn move is 0.59. Only when the priis below the strike pricthe option ha positive value, otherwise the value will zero. How many terminnos cgive bapositive return？A.1B.2C.0A is correct. Only the thirno ha value less th$120, whiis $52.22.老师请问题干哪里有说只考虑最后一期？ 88.5为什么不行？

2022-09-13 22:08 1 · 回答