NO.PZ2019010402000016
问题如下：
A manager wants to price a put option by one-period binomial tree. The relative information is as follows:
- The current stock price is $30, exercise price of put option is $30
- The up factor is 1.12, and the down factor is 0.92
- The risk-free rate is 5%.
The hedge ratio is:
选项：
A.-0.4
B.-0.45
C.-0.6
解释：
A is correct.
考点：hedge ratio
解析：
Put的hedge ratio h=p+ -p- /s+ -s-
其中p+=max(0, X-S+)=max(0,30-30×1.12)=0，p-=max(0, X-S-)=max(0,30-30×0.92)=2.4
s+其中=30*1.12=33.6
s-=30*0.92=27.6
h=p+ -p- /s+ -s-=0-2.4 /33.6-27.6=-0.4
如果用这个公式，p0=(0.35*2.4)/(1+5%)=0.8,p-=2.4,s0=30,s-=27.6,h=(0.8-2.4)/(30-27.6)=-0.67，请问这么想的话，哪里错了呢？
