[商管] [財管]-高應大98-金資所

[aiaorry (我不想皺眉頭)]

兩個問題..都是和連續複利有關...

1.
A stock price is currently $50. It is known that at the end of two months it
will be either $53 or $48. The risk-free interest rate is 10% per annum with
continuous compounding. What is the value of a two-month European call option
with a strike of $49? Use no-arbitrage arguments.

一般應該要用無風險中立機率去算吧?!

兩個月的連續複利要怎麼計算呢?!

2.
A five-year bond with a yield of 11% (continuously compounded) pays an 8%
coupon at the end of each year.

1. What is the bond's price?

2. What is the bond's duration?

3. Use the duration to calculate the effect on the bond's price of a 0.2%
   decrease in its yield.

4. Recalculate the bond's price on the basis of a 10.8% per annum yield and
   verify that the result is in agreement with your answer to (3.)

題目沒面額，自己設的話要設多少呢?!

連續複利要怎麼計算債券價格和存續期間呢?!

感謝...


--
※ 發信站: 批踢踢實業坊(ptt.cc)
◆ From: 220.228.251.160
→ kavas:最常見的面額都是1000元，設1000元最OK~
→ kavas:如果是我，我會先把連續複利轉換成有效年利率，再做計算
→ aiaorry:轉成有效年利率之後是按間斷複利一樣的算法嗎?
推 kavas:恩恩，我會這樣算沒錯~~不知道對不對唷XD
→ aiaorry:囧..第一次看到用連續複利出的...
→ kavas:我也是  囧
※ 編輯: aiaorry         來自: 220.228.251.160      (04/07 18:34)