标题: CFAI 2012 mock AM Q9 [打印本页] 作者: suyash1989 时间: 2013-4-22 05:54 标题: CFAI 2012 mock AM Q9
just know that for pricing the option price using one-period binomial tree on the 60-day call, the denominator use one year rate 3% not 3%*60/365? so no matter how long the period, we need to use the one year rate? is that right?作者: Swanand 时间: 2013-4-22 05:54
had the same issue. checked the curriculum, but they always speak of 1 period or 2 periods, no specific timelines… anybody?作者: king_kong 时间: 2013-4-22 05:55
that formula is specific for the option binomial. not used throughout the material.作者: Micholien 时间: 2013-4-22 05:55
So can anyone explain why we have U =1.15, we don’t use D =1/1.15 but 0.9作者: thommo77 时间: 2013-4-22 05:56
They rounded. They give you up 15% (1.15) and down 10% (.90). 1/1.15 is approx .9
