wuzx · 2021年09月13日
NO.PZ2020021205000015
问题如下：
Use a two-step tree to value a six-month American put option on a foreign currency for a US investor. The current value of the currency is USD 1.3000, the US risk-free rate is 3%, and the foreign risk-free rate is 5%. The strike price is 1.3200, and the volatility is 14% per annum.
解释：
In this case, there is no early exercise. The value of the option per unit of foreign currency is 0.0669.
DD仔_品职助教 · 2021年09月13日
嗨，从没放弃的小努力你好：
同学你好~
这里请看我手写的过程
请跟着我蓝笔写的123步看
需要补充的是第2步：判断是否会提前行权
这里需要判断两个价格，一个是p+/p-，这个价格是根据股票价格S+或者S-与行权价格X来计算出来的
第二个价格是p+’和p-’，这俩价格是6个月的时候的p折现得到的。
必须要判断一下这两个价格的大小，我们会选择大的往前折现，就是我蓝笔画勾勾的两个，他俩大，那么0时刻的put option价格就有他俩折现而得。
这个美式期权确实麻烦，建议同学再听一下基础班第16章，倒数第二个视频american option，讲的例题和这道基本一样~
----------------------------------------------加油吧，让我们一起遇见更好的自己！
NO.PZ2020021205000015问题如下 Use a two-step tree to value a six-month Americput option on a foreign currenfor a US investor. The current value of the currenis US1.3000, the US risk-free rate is 3%, anthe foreign risk-free rate is 5%. The strike priis 1.3200, anthe volatility is 14% per annum.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 7.5px Helveticcolor: #484046}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 7.5px Helveticcolor: #443e45}span.s1 {color: #466b}span.s2 {color: #675248}span.s3 {color: #48525f}span.s4 {color: #665047}In this case, there is no early exercise. The value of the option per unit of foreign currenis 0.0669.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #464248}span.s1 {color: #303c63}span.s2 {color: #466b}老师为什么是有e的（3%-5%）次方？这个是什么意思？
NO.PZ2020021205000015问题如下 Use a two-step tree to value a six-month Americput option on a foreign currenfor a US investor. The current value of the currenis US1.3000, the US risk-free rate is 3%, anthe foreign risk-free rate is 5%. The strike priis 1.3200, anthe volatility is 14% per annum.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 7.5px Helveticcolor: #484046}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 7.5px Helveticcolor: #443e45}span.s1 {color: #466b}span.s2 {color: #675248}span.s3 {color: #48525f}span.s4 {color: #665047}In this case, there is no early exercise. The value of the option per unit of foreign currenis 0.0669.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #464248}span.s1 {color: #303c63}span.s2 {color: #466b}外币和本币的换算只适用于第一步是为什么？
老师你好，这题能写出解题过程吗？我分别用美元和外币的无风险利率都算不出结果
