求解一道复习题 大神来呀

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

On April 30, 2007, a common stock is priced at $52.00.
You are given the following:
(i) Dividends of equal amounts will be paid on June 30, 2007 and September 30, 2007.
(ii) A European call option on the stock with strike price of $50.00 expiring in six months
sells for $4.50.
(iii) A European put option on the stock with strike price of $50.00 expiring in six months
sells for $2.45.
(iv) The continuously compounded risk-free interest rate is 6%.
Calculate the amount of each dividend.

求解题思路和解题公式 过程

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：复习题 Continuous DIVIDENDS calculate September following interest amount common option

C-P=S-D-K

xzjzy1 发表于 2013-8-26 23:43
C-P=S-D-K

你好 多谢了
能再详细一些么

PUT-CALL PARITY

C-P+PV(K)=PV(S)

C: call option price
P: put option price
PV(K): PRESENT VALUE OF STRIKE PRICE
PV(S): PRESENT VALUE OF STOCK

You may refer to ASM MFE 9th edtion

陳白胖胖 发表于 2013-8-27 00:52
你好 多谢了
能再详细一些么

C和P数字照抄
S是52股价
D分六月和九月的，设个字母按利率分别折现
K是50按利率折现

围观