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🎀马小玛🎀 · 2020年05月04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.

 the size of an up move is 1.69 and a down move is 0.59. 我不明白根据这句话，怎么知道是用乘而不是加？上升1.69，难道不是150+1.69吗？

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1 个答案

星星_品职助教 · 2020年05月06日

同学你好，

二叉树的问题上课讲过，the size of an up move is 1.69 and a down move is 0.59指的是变动的规模，也就是要用乘法，二叉树问题里是不会出现加法的

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