确认一下

Question

1、无风险利率和股息率都是连续复利计息的年利率吧？

2、一年的交易日有几天？252？251？250？

Answer 1

1. RF rate is annually compounded rate.

    The dividend yield for an individual stock is its annual dividend per share divided by price per share. As the historical data does not provide details of specific dividend payments and you should not predict future dividend events in this contest, you probably have to treat the yield as a continuous annual rate (the 'q' value).

2. Varies from year-to-year. Assume average of 250.

Answer 2

dividend yield=1.41%

risk-free rate=4.5%

continuously compounded RF rate=ln(1+1.41%)

上行概率=(exp(continuously compounded RF rate-dividend yield))/(u-d)

 

对吗？

Answer 3

sorry, this is a model-specific question...