CFA derivative 作业第1题

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littlem 提问于2年之前

1. An analyst using one-period binomial model calculates a probability-weighted average of an option’s values following an up-move or a down-move. According to this model, this average is most likely:
a) equal to the option’s value today
b) less than the option’s value today
c) greater than the option’s value today

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panda 老师回答于2年之前

The probability-weighted average calculated by the analyst is the option’s value after one period. To estimate the option’s value today, this result must be discounted by one period. 就是预期值的折现。