5621数理金融中等数值题short
Tree Hedge Ratio 1
题目
At a one-step node, the underlying can move from 100 to 110 or 90. The option value in those two states is 12 and 2. What delta and cash position replicate the option over this step?
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
delta
cash