美式期权定价,求高手解答！ [推广有奖]

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florachu 发表于 2010-9-21 03:42:22 |AI写论文

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(a) Explain why (and when) it might be advantageous to exercise an American call option early.
(b) A 6-month American call option on a stock that is expected to pay dividends of 1 euro per share at the end of the second and the fifth month. The current stock price is 30 euros, the risk-free interest rate is 10% per annum, and the volatility of the stock (adjusted by the dividend payments) is 30% per annum. Use a 6-period binomial model to determine the price of the option.

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关键词：求高手解答期权定价美式期权求高手 Volatility 高手定价解答期权

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yyeric 发表于2楼查看完整内容

My answers are as follows for your reference A) It might be optimal to exercise the American Call Option only at the Coupon date, that is when the stock pays dividends. B) Have no clue how this could be calculated without a strike price.... Double check ur question pls

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yyeric 发表于 2010-9-21 05:23:19

My answers are as follows for your reference
A) It might be optimal to exercise the American Call Option only at the Coupon date, that is when the stock pays dividends.
B) Have no clue how this could be calculated without a strike price.... Double check ur question pls