N(d1)

NO.PZ2020021205000029

问题如下：

The current exchange rate for a currency is 1.2000 and the volatility of the exchange rate is 10%. Calculate the value of a call option to buy 100 units of the currency in two years at an exchange rate of 1.2500. The domestic and foreign risk-free interest rates are 3% and 5%, respectively.

选项：

解释：

In this case, S0 = 1.2000, K = 1.2500, r = 0.03,

rf = 0.05, u = 0.1, and T = 2, and Equation (15.10)

gives

d,= $\frac{\ln(1.200/1.2500)\;+\;(0.03\;-\;0.05\;+\;0.10^2/2)\;X\;2}{0.1\sqrt2}$ = -0.5008

d2 = $\frac{\ln(1.200/1.2500)\;+\;(0.03\;-\;0.05\;-\;0.10^2/2)\;X\;2}{0.1\sqrt2}$ = -0.6422

C = 1.2OOO $e^{-0.05\ast2}$ N(-O.5OO8) - 1.25OO $e^{-0.03\ast2}$ N(-O.6422)= 0.028

This is the value of an option to buy one unit of the currency. The value of an option to buy 100 units is 2.8.

用excel求N(d1)的函数是什么

添加评论

1 个答案

已采纳答案

李坏_品职助教 · 2022年02月15日

嗨，从没放弃的小努力你好：

N(d1)是求标准正态分布的累积概率，excel里面公式是: =Norm.S.Dist(d1, True)

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

添加评论

1
回答
0
关注
247
浏览

我要回答关注问题

相关问题

NO.PZ2020021205000029问题如下The current exchange rate for a currenis 1.2000 anthe volatility of the exchange rate is 10%. Calculate the value of a call option to buy 100 units of the currenin two years exchange rate of 1.2500. The mestic anforeign risk-free interest rates are 3% an5%, respectively.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #463e45}span.s1 {color: #495566}span.s2 {color: #695147}span.s3 {color: #303c63}In this case, S0 = 1.2000, K = 1.2500, r = 0.03,rf = 0.05, u = 0.1, anT = 2, anEquation (15.10)p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #464248}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #484045}span.s1 {font: 10.0px Helvetica}span.s2 {font: 6.5px Helvetica}span.s3 {color: #757475}span.s4 {font: 9.5px Helvetica}span.s5 {color: #466b}givesp.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 13.0px Helveticcolor: #4e4a4=ln⁡(1.200/1.2500) + (0.03 − 0.05 + 0.102/2) X 20.12\frac{\ln(1.200/1.2500)\;+\;(0.03\;-\;0.05\;+\;0.10^2/2)\;X\;2}{0.1\sqrt2}0.12ln(1.200/1.2500)+(0.03−0.05+0.102/2)X2= -0.5008p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #484449}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #474b} =ln⁡(1.200/1.2500) + (0.03 − 0.05 − 0.102/2) X 20.12\frac{\ln(1.200/1.2500)\;+\;(0.03\;-\;0.05\;-\;0.10^2/2)\;X\;2}{0.1\sqrt2}0.12ln(1.200/1.2500)+(0.03−0.05−0.102/2)X2= -0.6422p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #474045}span.s1 {color: #6b6767}span.s2 {font: 5.0px Helvetica}span.s3 {color: #777777}C = 1.2OOOe−0.05∗2e^{-0.05\ast2}e−0.05∗2N(-O.5OO8) - 1.25OOe−0.03∗2e^{-0.03\ast2}e−0.03∗2N(-O.6422)= 0.028This is the value of option to buy one unit of the currency. The value of option to buy 100 units is 2.8.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #474045}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #474044}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #4632}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #4432}span.s1 {color: #6b5547}为什么要用0.03-0.05 而不是0.05-0.03 老师给的公式就是rx-rf

2024-03-23 21:14 1 · 回答

NO.PZ2020021205000029 汇率互换不是要把外国的利率当时分红来处理，S0应该*e的-（r-q）T吧？为什么是5%呢

2022-02-25 10:24 1 · 回答

NO.PZ2020021205000029 想请问一下为什么5%对应的是1.2而3%对应的1.25呢？感谢解答~

2022-02-21 12:25 1 · 回答

请问n()=1-n(-)吗，我查表n(-0.5008)=0.3085,但是算出来结果和答案不符。

2020-03-20 16:02 2 · 回答

N(d1)

1 个答案

1

0

247

相关问题