dividend yield计算公式是哪里讲的

NO.PZ2016082402000029

问题如下：

Jeff is an arbitrage trader, who wants to calculate the implied dividend yield on a stock while looking at the over-the-counter price of a five-year European put and call on that stock. He has the following data: S = $85, K = $90, r = 5%, c = $10, p = $15. What is the continuous implied dividend yield of that stock?

选项：

2.48%

4.69%

5.34%

7.71%

解释：

ANSWER: C

By put-call parity, $\;c-p=Se^{-r\ast\tau}-Ke^{-r\tau}$ . Therefore, $Se^{-r\ast\tau}=\;c-p+Ke^{-r\tau}=10$ $-15+90e^{0.05\ast5}=65.09$ . The dividend yield is then $y=-\frac1Tln{(\frac{65.09}{85})}=5.337\%.$

如题如题不记得了了了

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品职答疑小助手雍 · 2021年05月03日

嗨，从没放弃的小努力你好：

算是贯穿了考试的常规重要点吧，你可以把dividend yield 理解成反正以后要付出股息，这些股息对现在价格的影响需要通过这种类似折现的方式折减。

或者说把S里包含的未来股息在期初剔除掉。

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努力的时光都是限量版，加油！

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