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确认一下 RRS feed

  • 问题

  • 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?

    2011年10月24日 4:20

答案

  • 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.
    2011年10月24日 4:40
    版主

全部回复

  • 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.
    2011年10月24日 4:40
    版主
  • 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?

    2011年10月24日 6:14
  • sorry, this is a model-specific question...
    2011年10月24日 6:50
    版主