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Kelly001 · 2021年12月05日

B选项为什么不对

  1. CFA I
  2. Quantitative

NO.PZ2017092702000095

问题如下：

A call option on a stock index is valued using a three-step binomial tree with an up move that equals 1.05 and a down move that equals 0.95. The current level of the index is $190, and the option exercise price is $200. If the option value is positive when the stock price exceeds the exercise price at expiration and $0 otherwise, the number of terminal nodes with a positive payoff is:

选项：

A.

one.

B.

two.

C.

three.

解释：

A is correct.

Only the top node value of $219.9488 exceeds $200

209.4750为什么不算一个positive payoffs ？
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2 个答案

星星_品职助教 · 2021年12月12日

@勇往直前

下图是“at expiration”的意思。

星星_品职助教 · 2021年12月06日

同学你好，

根据题干中的“ If the option value is positive when the stock price exceeds the exercise price at expiration and $0 otherwise”，可知只有最后一期的结果才可以算成“positive payoffs”。

或者换个角度想，209.4750在最后一期已经不存在了，替代品就是219.9488和199.0013.

勇往直前 · 2021年12月12日

请问为什么209.475不是最后一期

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