期权期货与其他衍生产品第九版课后习题与答案Chapter (21).docxVIP

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期权期货与其他衍生产品第九版课后习题与答案Chapter (21).docx

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CHAPTER21 Basic Nu me r ical Procedures Practice Questions Problem 21.1. V.\lich of the following can be estimated for an Alnerican option by constructing a single binonlial h·ee: delta, ga1runa, vega, tl1eta, rho? Delta, ga1mn a, and tl1eta can be detennined from a single binomial tree. Vega is determined by making a small change to tl1e vola tility and recomputing the option price using a new tt·ee. 灿 o i s calculated by making a stnall change to the interest rate and recomputing the option price using a new tt·ee. Problem 21.2. Calculate tl1e p ric e of a tlu ee-montl1Alner ic an put option on a non-dividend-paying stock 咘 en the stock price is $60, 小 e s 如 ke price is $60, tl1e risk-free intere st rate is 10%per a1mum, and tl1e volatility is 45% per arumm Use a binomial tre e with a time interval of one month. I11 tl1is case, 8iJ = 60 , K = 60 , r = 0 . 1 , a = 0.4 5 , T = 0.25 , and /1t = 0.0833. Also ll = ea 应 = e0.45严 =1.1387 -=-=d = 1 0.8782 -=-= ll a = e.-1:.t = eO.lxO.0833 = l. 0084 —a - d p = u-d = 0.4998 1- p = 0.5002 TI1e output from De1ivaGem for tl1is exam ple is shown in the Figure S21.1. TI1e calculated price of tl1e option is $5.16. G『owth facto『 perstep, a= 1.0084 Probability of up move, p = 0.4997 Up step Up step si ze, u = 1.1387 Downstepsize, d = 0.8782 77.800。84 N odeT,me 0.0000 0 0833 0.1667 0.2500 Figw·e S21.1: Tree for Problem21.2 Problem 21.3. Explain how 小e control variate teclurique is itnplemented when a tree is used to value Atnerican options. TI1e contt·ol vari ate teclulique is implemented by Valuing an American option using a binomial tree in the ustial way (＝众）． Valuing tl1e European option witl1小e sam e parameters as the Atnerican option using 小e same tree (= fi;:). Valuing tl1e European option using Black-Scholes-Merton（七）TI1eptice oftl1e Atnerican option is estimated as 众＋坛－丘 Problem 21.4. Calculate 小e price of a tune-month Atuerican call option on corn fi血 r es wl1en tl1e current fi由11·es price is 198 cents, the stt·ik