5878数理金融简单数值题short
CRR Up/Down Factors From Volatility
题目
In a Cox-Ross-Rubinstein tree the volatility is σ=0.25 per year and each step is Δt=0.25 years. Using u=e^{σ√Δt} and d=1/u, what is the up factor u (to four decimals)?
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提交作答时记录，用于后续平均用时统计。
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