Re: [問題] 美式買權提早執行問題
看板CFAiafeFSA (精算師/基金經理人/銀行家)作者howtodowell (well)時間15年前 (2010/10/01 00:07)推噓1(1推 0噓 13→)留言14則, 3人參與討論串2/2 (看更多)
我懂你的意思
上面有一條題目
An American call option has a strike price of 50.The risk free rate is 5%.
There are 2 months left to expiry.The present value of dividends over the 2
month period is D.
Determine the lowerest value of D such that exercising the option early
could be rational.
課本:D>K(1-e^-r(T-t))=50(1-e^-0.05*(2/12))=0.414935.
我的想法:D>K(1-e^-r(T-t))+Put(European)
所以根據題目沒辦法算出最小值
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