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天sama · 2022年03月09日

关于折现率

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021203000074

问题如下：

What will be the lower bound for the price of a threemonth European put option on a non-dividend-paying stock if the current stock price is USD 22, the strike price is USD 25, and the risk-free rate is 6% per year (annually compounded)?

解释：

The lower bound (USD) is

251.060.25−22=2.64\frac{25}{1.06^{0.25}}-22=2.64

为什么本题中6%不用除以4，而是直接把时间转换成1/4

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1 个答案

品职答疑小助手雍 · 2022年03月09日

同学你好，题目给的6%的rf是annually compounded，折现一般复利或者连续复利进行折现，不用单利折现。

计息会有单利计息的情况，比如SOFR

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NO.PZ2020021203000074 问题如下 Whwill the lower bounfor the priof a threemonth Europeput option on a non-vinpaying stoif the current stopriis US22, the strike priis US25, anthe risk-free rate is 6% per ye(annually compoun? The lower boun(US is251.060.25−22=2.64\frac{25}{1.06^{0.25}}-22=2.641.060.2525​−22=2.64 25/e^6% - 22

2024-08-01 15:00 1 · 回答