← 返回数学题库
4620数理金融简单数值题short

Replication Inversion 5

题目

A replicating hedge uses Delta = 0.5333 and bond holding B = -39.6 with no discounting over the step. If S_u = 108 and S_d = 78, what payoffs does this hedge produce in the up and down states?

解题计时

0:00

提交作答时记录,用于后续平均用时统计。

你的答案

Up state payoff

Down state payoff