The price of a stock
题目详情
某股票当前价格为 $50。三个月后，它将以 50% 的概率变为 $47，或以 50% 的概率变为 $52。你愿意为一只平值看跌期权支付多少？为简化起见，假设该股票不分红且利率为 0。
The price of a stock is $50. In three months, it will either be $47 or $52, each with 50% probability. How much would you pay for an at-the-money put? Assume for simplicity that the stock pays no dividends and that interest rates are zero.
解析
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