作者howtodowell (well)
看板CFAiafeFSA
标题[问题] continuously compounded rate of return of the stock
时间Mon Nov 1 23:15:40 2010
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
这题我会算
但如果题目改成股利率=0.02 答案会变吗?
the continuously compounded rate of return on the stock指的是股票资本利得
还是有包括股利率在里面了呢?
在後面章节 我们知道由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?
谢谢回答
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1F：推 a8704661515:1.因为P和P*会变=>会变2.对 3. total return 11/02 15:04
2F：推 louis0407:第一题怎麽算啊? 利用选择权报酬率=股票和无风险报酬 11/02 19:36
3F：→ louis0407:的线性比例组合吗??? 那这样为啥要给binomial啊??? 11/02 19:36