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H. · 2020年11月30日

问一道题:NO.PZ2018062007000077 [ CFA I ]

问题如下:

To determine the price of an option today, the binomial model requires:

选项:

A.

selling one put and buying one offsetting call.

B.

buying one unit of the underlying and selling one matching call.

C.

using the risk- free rate to determine the required number of units of the underlying.

解释:

C is correct. Pricing an option relies on the facts that a perfectly hedged investment earns the risk- free rate and that, based on the binomial option pricing model, the size of the two possible changes in the option price (meaning the potential step up or step down in the option value) after one period are equivalent.

请问这题能不能具体解释一下?完全没看懂,焦虑~

🐳Sakura · 2020年11月30日

C的意思是说二叉树的定价方法中,H units是由risk free rate来求的,这是对的,因为二叉树中,构建的portfolio是一个hedged portfolio,结果是固定的了,不需要概率了。具体的过程在衍生最后一个知识点,二叉树,反正挺难的==记住构建的portfolio和H的公式就完了

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🐳Sakura · 2020年11月30日

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