作者howtodowell (well)
看板CFAiafeFSA
標題[問題] ASM binomial tree
時間Sun Oct 10 10:14:22 2010
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.
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1F：→ dos792:call-put parity is model independent, so (5) tells u 10/10 10:18
2F：→ dos792:answer already. 10/10 10:18
3F：→ dos792:btw, the payoff of call/put is DEFINITION. 10/10 10:21
4F：→ howtodowell:我知道用put call parity非常容易解出來 10/10 10:51
5F：→ howtodowell:但我想硬解的話 我不知如何證明我上述的問題 10/10 10:51
6F：→ dos792:there is nothing u can prove. it is DEFINITION. 10/10 16:53
7F：→ dos792:the question is misleading u, wanting u waste ur time 10/10 16:54
8F：→ dos792:on the structure of tree. However, there are infinite 10/10 16:55
9F：→ dos792:trees possible to model this problem. 10/10 16:56