5230金融与交易困难数值题short
Box Spread Implied Rate 5
题目
Consider a box spread built from strikes 95 and 105: long call(95) at 9.8, short call(105) at 4.1, long put(105) at 5.9, and short put(95) at 2.2. For maturity T=0.75, what is the net cost today and the implied annualized lending rate under annual compounding?
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cost
implied_rate