求解答一道期权题，谢谢

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Consider an option on a non-dividend-paying stock when the stock price is $30, the exercise price is$29, the risk-free interest rate is 5% per annum, the volatility is 25% per annum. And the time to maturity is 4 months
.•What is the price of the option if it is a European call?
•What is the price of the option if it is an American call?
•What is the price of the option if it is a European put?
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关键词：求解答 Volatility European Dividend American 期权

第一第三题直接用bs公式，第二题用二叉树模型

Add a little more, since no dividend,

American and European call are the same. So 1 and 2 will give the same answer.

best,

fjlhr 发表于 2013-12-14 12:39
第一第三题直接用bs公式，第二题用二叉树模型

谢谢，已在解

Chemist_MZ 发表于 2013-12-14 12:55
Add a little more, since no dividend,

American and European call are the same. So 1 and 2 will gi ...

thanks. the american call price is the same as the european call price.    2.52

yyyy1992 发表于 2013-12-14 13:05
谢谢，已在解

不客气

此题与你的前一题一样啊。看来已有高手在此处答了。