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临江仙 · 2020年09月22日

问一道题:NO.PZ2020021205000058

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. value an option that pays off max(S2S^2 - 2,400, 0) in six months where S is the stock price. (This is known as a power option.)

选项:

解释:

For the power option, the tree becomes as follows, and the value of the option is 408.363.

为什么是二期二叉树,题目中看不出来

1 个答案
已采纳答案

品职答疑小助手雍 · 2020年09月22日

嗨,从没放弃的小努力你好:


一般都按二期二叉树那样算的,不用太在意这个,计算方法掌握就行了,考试肯定会说清楚的~


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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!


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