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标题: [学习疑问] Derivative部分一道问题求解 [打印本页]

作者: kamara5    时间: 2012-6-15 10:54     标题: Derivative部分一道问题求解

题目如下,恳求论坛的牛人们伸出援手相助,感激不尽:
  A stock index currently stands at 300 and has a volatility of 20%. The risk-free rate is 8% and the dividend yield on the index is 3%. Use a 3-step binomial tree to value a 6-month put option on the index with a strike price of 300 if it is 1) European 2) American?
作者: DarienHacker    时间: 2012-6-15 10:54

先算出上升下降的概率,再算出没有div的So,最后算option




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