[問題] continuously compounded rate of return of the stock
看板CFAiafeFSA (精算師/基金經理人/銀行家)作者howtodowell (well)時間15年前 (2010/11/01 23:15)推噓2(2推 0噓 1→)留言3則, 2人參與討論串1/1
ASM p.366 15.
A 9-month European call option on a non-dividend paying stock is modeled
using a 1-period binomial tree. you are given:
(1)the continuously compounded rate of return on the option is 0.25
(2)the continuously compounded risk-free rate is 0.05
(3)u=1.2
(4)d=0.8
(5)Cu=10
(6)Cd=0
determine the continuously compounded rate of return on the stock
這題我會算
但如果題目改成股利率=0.02 答案會變嗎?
the continuously compounded rate of return on the stock指的是股票資本利得
還是有包括股利率在裡面了呢?
在後面章節 我們知道由sharpe ratio可以得到total return
=capital return + dividend rate
那the continuously compounded rate of return on the stock 指的是
total return 或者 capital return?
謝謝回答
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