PTT職涯區 / CFAiafeFSA (精算師/基金經理人/銀行家)

[問題] ASM binomial tree

看板CFAiafeFSA (精算師/基金經理人/銀行家)作者 (well)時間15年前 (2010/10/10 10:14), 編輯推噓0(0推 0噓 9→)
留言9則, 2人參與, 最新討論串1/1
p.52 3.17 A European option is modeled with a 1-period binomial tree. you are given: (1)The stock price is 20. (2)The strike price is 20. (3)The risk-free rate is 3%. (4)The continuous dividend rate is 1%. (5)delta for a 6-month call option is 0.4. Determine delta for a 6-month European put option with a strike price of 20. 我想請問如何證明the call only pays at the upper node the put only pays at the lower node thanks. -- ※ 發信站: 批踢踢實業坊(ptt.cc) ◆ From: 140.112.230.16
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10/10 10:18, , 1F
call-put parity is model independent, so (5) tells u
10/10 10:18, 1F
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10/10 10:18, , 2F
answer already.
10/10 10:18, 2F
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10/10 10:21, , 3F
btw, the payoff of call/put is DEFINITION.
10/10 10:21, 3F
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10/10 10:51, , 4F
我知道用put call parity非常容易解出來
10/10 10:51, 4F
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10/10 10:51, , 5F
但我想硬解的話 我不知如何證明我上述的問題
10/10 10:51, 5F
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10/10 16:53, , 6F
there is nothing u can prove. it is DEFINITION.
10/10 16:53, 6F
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10/10 16:54, , 7F
the question is misleading u, wanting u waste ur time
10/10 16:54, 7F
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10/10 16:55, , 8F
on the structure of tree. However, there are infinite
10/10 16:55, 8F
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10/10 16:56, , 9F
trees possible to model this problem.
10/10 16:56, 9F
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