美式期权(American option)
美式期权(American option)
美式期权(American option)
欧式期权与美式期权(European option & American option)
伪美式看涨期权价值(pseudo—American call option value)
1.翻译 At each node: Upper value = Underlying Asset Price Lower value = Option Price Values in red are a result of early exercise. Strike price = 100 Discount factor per step = 0.9980 Time step, dt = 0.1000 years, 36.50 days Growth factor per step, a = 1.0020 Probability of up move, p = 0.4868 Up step size, u = 1.0995 Down step size, d = 0.9095 Volatility (% per year): Risk-Free Rate (% per year): Dividend Yield (% per yer): 2.已知股票价格60,波动率30%,协议价格50,无风险利率5%,期限两年,使用五步二叉树模型求美式看跌期权的价格,问是否可以提前执行,如果可以提前执行的价格多少。
A.European
B.American
C.Bermudan
D.futures
E.Asian
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