鹿同學(xué)
2020-09-18 22:52答案說S0遠大于K 處于in the money,所以Δ接近于1,Nd1接近于1。但Nd2答案給的是0.999?從哪里來的0.999呢?
所屬:FRM Part I > Valuation and Risk Models 視頻位置 相關(guān)試題
來源: 視頻位置 相關(guān)試題
1個回答
Cindy助教
2020-09-21 09:35
該回答已被題主采納
同學(xué)你好,可以把答案解析拍給老師看看嘛
-
回復(fù)184****2475:我也不懂這題哭哭 -
回復(fù)Cindy:As the stock price becomes large relative to the strike price, N(d,) and N(d2) approach 1.0; in this case, they are 1.000 and 0.9999. 30 - 10e-4%x1 = $20.3921 (the precise value is $20.3922).
