tototie
2018-12-31 11:26eff is an arbitrage trader, and he wants to calculate the implied dividend yield on a stock while looking at the over-the-counter price of a 5-year put and call (both European-style) on that same stock. He has the following data: *Initial stock price = USD 85 *Strike price = USD 90 *Continuous risk-free rate = 5% *Underlying stock volatility = unknown *Call price = USD 10 *Put price = USD 15 What is the continuous implied dividend yield of that stock? A 7.71% B 5.34% C 4.69% D 2.48% 為什么實(shí)在85上折現(xiàn)，不用90
所屬：FRM Part I 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Galina助教
2019-01-02 18:10
該回答已被題主采納
這個(gè)不是折現(xiàn) 是扣除dividend 紅利在現(xiàn)貨價(jià)格上扣減 和期貨定價(jià)時(shí)Se^（r-q）是一個(gè)道理
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