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雷达卡
有几个地方不是很明白，希望各位朋友能帮帮忙～！
Consider a two-period binomial model.The stock price at time zero is $374.4. The up factor is equal to 1.25, the down factor is equal to 0.625. The risk free rate is 20% per period.
We want to price a European put option that expires at time two. the strike price is $374.4.
这个模型基本的一些数据我已经算出来了
P=9.386
Pu=5.46
Pd=78
Puu=0
Pud=81.9
Pdu=81.9
Pdd=228.15
h= -0.31
hu= -0.28
hd= -1
关键现在是他要 replicate payoff of 1000 option contracts
lending/borrowing cash as necessary at the risk free rate.
Fill in each blank with a number with appropriate sign (+ or -)，
（For stocks, minus sign signifies a short position. For cash, minus sign signifies debt.)
To construct the replicating portfolio that replicates the value of 1000 option contracts, we should begin with a portfolio whose total value at time zero is ___________ dollars,
which consist of __+310_ shares of the underlying stock and _____________ dollars in cash. Then.....
就第一步这里，portfolio总价值 V=310（374.4）+1000（9.386）=125450 对不对？
这个价值一个是股票，一个是put option， 我就搞不懂哪里来的cash，
他说lending 和borrowing都可以，是要让我再借一些钱么？
这老师的课件上起始的total value at time zero 0 好像都是 用1000 乘以 option的价格，1000（9.386）=9386，
是这么回事么？
然后接着还有，就是分这个模型股票上升和下降的情况。
Case 1: Stock goes up in the first period.
If this happens, the value of our stock holdings becomes ___________ dollars and the value of our cash holdings become __________,
which bring the total value of our portfolio to __________ dollars. At this time, we should rebalance our portfolio:
We buy or sell stock as appropriate, so that our position in the underlying stock is changed to __+280__shares. This rebalancing changes the total cash in our portfolio to ________ dollars. And what happens in the final period:
-If stock goes up in the final period, the value of our stock holding becomes______________dollars and the value of our cash holdings becomes__________, which bring the total value of our portfolio to _______ dollars.
-If stock goes down in the final period, the value of our stock holding becomes______________dollars and the value of our cash holdings becomes__________, which bring the total value of our portfolio to _______ dollars.
Case 2: Stock goes down in the first period.
If this happens, the value of our stock holdings becomes ___________ dollars and the value of our cash holdings become __________,
which bring the total value of our portfolio to __________ dollars. At this time, we should rebalance our portfolio:
We buy or sell stock as appropriate, so that our position in the underlying stock is changed to _______shares. This rebalancing changes the total cash in our portfolio to ________ dollars. And what happens in the final period:
-If stock goes up in the final period, the value of our stock holding becomes______________dollars and the value of our cash holdings becomes__________, which bring the total value of our portfolio to _______ dollars.
-If stock goes down in the final period, the value of our stock holding becomes______________dollars and the value of our cash holdings becomes__________, which bring the total value of our portfolio to _______ dollars.
还有最后一个问题就是
在replicating portfolio 和 hedging portfolio的时候有什么区别？？？
是不replicating portfolio 在起始时间的total value必须是某些特定的数值，
而hedging portfolio的时候stock，option，lend or borrow多少cash 怎么分配都可以？
希望大家帮帮忙，非常感谢～
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