作者howtodowell (well)
看板CFAiafeFSA
標題[問題] continuously compounded rate of return of the stock
時間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
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
--
※ 發信站: 批踢踢實業坊(ptt.cc)
◆ From: 140.112.230.16
1F：推 a8704661515:1.因為P和P*會變=>會變2.對 3. total return 11/02 15:04
2F：推 louis0407:第一題怎麼算啊? 利用選擇權報酬率=股票和無風險報酬 11/02 19:36
3F：→ louis0407:的線性比例組合嗎??? 那這樣為啥要給binomial啊??? 11/02 19:36