TinaSssss · 2020年08月21日
问题如下：
A stock price is currently 50. Its volatility is 20% per annum. The risk-free rate is 4% per annum with continuous compounding. Use a two-step tree to determine the value of a six-month European put option on the stock with a strike price of 48. Check that put-call parity holds.
解释：
As the following tree shows, the value of the put option is 1.561. Put-call parity holds because:
NO.PZ2020021205000057问题如下A stopriis currently 50. Its volatility is 20% per annum. The risk-free rate is 4% per annum with continuous compounng. Use a two-step tree to termine the value of a six-month Europeput option on the stowith a strike priof 48. Chethput-call parity hol.the following tree shows, the value of the put option is 1.561. Put-call parity hol because:老师好，我哪里做错了呢？
这题的条件是不是漏了半年这个时间？
请问4.511是怎么算出来了的，另外这道题没有说是几个月的option，第一个no 为什么t=0.25了，题干上并没有说这是一个6个月的option。
老师好，这题看不到图片。而且求买卖平价公式是指什么？
