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학습질의응답홈>국제자격증>FRM>게시판>학습질의응답
| 제목 | 김종곤 강사님 FRM Part 1Valuation and Risk Models, Binomial Trees | 등록일 | 2017-08-29 |
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안녕하세요. 아래 문제 해설에서 e rT ?du?d =e .01*.25 ?81.2?8 =50.5%라고 했는데 문제에서 six-month american put option이라고 했기에 e^0.01*0.5라고 해야 정답이 나오지 않나요? 강사님의 설명에 항상 감사드립니다. 감사합니다. You are the chief risk officer for a multinational bank. You are debating writing a six?month American put option on a nondividend paying stock ABC as a hedge, but need to verify the option pricing fits within the risk department's valuation models. The current stock price is $75 and the strike price of the option is $78. In order to find the no?arbitrage price of the option: You decide to use a two?step binomial tree model. The stock price can go up or down by 20% each period. Your personal view of the real?world state of the world is that the stock price has a 75% probability of going up each period and a 25% probability of going down. You are assuming the Fed raises rates in 2016 and assume a constant risk?free rate of 1% per annum with continuous compounding. What is the risk?neutral probability of the stock price going up in a single step? 48.5% 52.3% 74.5% 50.5% (해설) Probability of going up, e rT ?du?d =e .01*.25 ?81.2?8 =50.5% |
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