[問題] 請教兩題CFA lv1的問題
看板CFAiafeFSA (精算師/基金經理人/銀行家)作者karenina (guest)時間17年前 (2008/11/23 00:20)推噓1(1推 0噓 0→)留言1則, 1人參與討論串1/2 (看更多)
請教兩個問題..
1.Of the two statements of call and continuous markets:
Statement 1: Dealers in call market and continuous market have different
functions: in continuous market, they would attempt to derive a new
equilibrium price that would reflect the imbalance and take care of most
of the orders; in call markets, dealers have to buy or sell for their own
account at specified bid and ask price.
Statement 2: The stock exchange has to choose either call markets or
continuous markets trading structure because the two trading structures are
so different that the existence of two structures will make trading
ineffective.
Answer: 1-false, 2-false
請問statement 1是那裡不對呢?
2. What is the lower bound for a 6-month European put option on stock
index if the current stock index is 1000, the strike price is 1050, the
risk-free interest rate is 5%, and the dividend yield is 2%?
Answer: P >= max [0, 1050/((1+0.05)^0.5) - 1000/((1+0.02)^0.5) ]
請問 the lower bound of put 不是應該是max [0, X/((1+r)^t)-S]嗎?
為什麼這邊還需要在除一個dividend yield呢?
希望有人可以幫忙解釋一下,多謝囉~~~
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11/23 12:31, , 1F
11/23 12:31, 1F
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