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尼克内姆 · 2020年06月26日

问一道题:NO.PZ2017092702000095 [ CFA I ]

问题如下:

A call option on a stock index is valued using a three-step binomial tree with an up move that equals 1.05 and a down move that equals 0.95. The current level of the index is $190, and the option exercise price is $200. If the option value is positive when the stock price exceeds the exercise price at expiration and $0 otherwise, the number of terminal nodes with a positive payoff is:

选项:

A.

one.

B.

two.

C.

three.

解释:

A is correct.

Only the top node value of $219.9488 exceeds $200

请问下, and 0 otherwise是什么意思???怎么翻译

1 个答案

星星_品职助教 · 2020年06月30日

同学你好,

“ If the option value is positive when the stock price exceeds the exercise price at expiration and $0 otherwise”的意思是option value当股价超过执行价格的时候是正值,否则(当股价没有超过执行价格时)option value就是$0

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