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treepple · 2020年03月08日

问一道题:NO.PZ2018062007000077

问题如下:

To determine the price of an option today, the binomial model requires:

选项:

A.

selling one put and buying one offsetting call.

B.

buying one unit of the underlying and selling one matching call.

C.

using the risk- free rate to determine the required number of units of the underlying.

解释:

C is correct. Pricing an option relies on the facts that a perfectly hedged investment earns the risk- free rate and that, based on the binomial option pricing model, the size of the two possible changes in the option price (meaning the potential step up or step down in the option value) after one period are equivalent.

c答案的意思是要确定h吗?根据h的公式,里面没有涉及到rf?

1 个答案

xiaowan_品职助教 · 2020年03月09日

嗨,从没放弃的小努力你好:


同学你好,这个选项想表达整个定价的思路用到了rf,因为构建的组合期末payoff是确定的,那么投资者赚的是rf。只有买h份股票,卖1份call,才有一个确定的payoff,才有rf。但这个选项的阐述方法不是很严谨。


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努力的时光都是限量版,加油!


(๑• . •๑) · 2020年03月28日

这是原版书课后题吗

xiaowan_品职助教 · 2020年03月28日

是的同学,是原版书课后第38题

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