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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？

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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。

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