Shuangshuang · 2020年04月08日
问题如下：
Use a two-step tree to value an eight-month American put option on a futures contract. The current futures price is 58 and the risk-free rate is 5%. The strike price is 60 and the volatility is 24% per annum.
选项：
解释：
The option is exercised at node A. The value today is 5.478.
u=e^24%*(8/(2*12))^(1/2)=1.1486
d=0.8706
pu=(e^(5%*(8/(2*12))^(1/2)-d)/(u-d)=57.08%
pd=1-pu=42.91%
那第一步的payoff不是2*42.91%/（e^(5%*(8/(2*12)）=0.8338吗
不好意思没问题了
NO.PZ2020021205000016问题如下Use a two-step tree to value eight-month Americput option on a futures contract. The current futures priis 58 anthe risk-free rate is 5%. The strike priis 60 anthe volatility is 24% per annum.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 7.5px Helveticcolor: #463e44}span.s1 {color: #48525f}span.s2 {color: #695147}span.s3 {color: #303b5f} The option is exerciseno The value toy is 5.478p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #473f45}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #403941}span.s1 {color: #6b5547} 老师好，我的计算过程哪里算错了吗？又和答案对不上
NO.PZ2020021205000016 问题如下 Use a two-step tree to value eight-month Americput option on a futures contract. The current futures priis 58 anthe risk-free rate is 5%. The strike priis 60 anthe volatility is 24% per annum.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 7.5px Helveticcolor: #463e44}span.s1 {color: #48525f}span.s2 {color: #695147}span.s3 {color: #303b5f} The option is exerciseno The value toy is 5.478p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #473f45}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #403941}span.s1 {color: #6b5547} 发现第一步位数保留的不对，后面所有节点的数字再折现回来时会差很多。
NO.PZ2020021205000016 问题如下 Use a two-step tree to value eight-month Americput option on a futures contract. The current futures priis 58 anthe risk-free rate is 5%. The strike priis 60 anthe volatility is 24% per annum.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 7.5px Helveticcolor: #463e44}span.s1 {color: #48525f}span.s2 {color: #695147}span.s3 {color: #303b5f} The option is exerciseno The value toy is 5.478p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #473f45}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #403941}span.s1 {color: #6b5547} 请详细写下每一个要素的计算过程和结果，整个题目的计算步骤和过程。用一步二叉树还是两步二叉树？
NO.PZ2020021205000016 老师您好 我算到No A excerecise 然后想折现回toy. 为什么算出来和答案不一样呢？ 请指教。
NO.PZ2020021205000016 u= 1.1486 0.8706 没错 p = (exp(0.05/3)- / (u- = 0.5259 为什么答案算出来的概率和我算的不一样
