continuously compounded rate of return of the stock - 金融分析師

ASM p.366 15.

A 9-month European call option on a non-dividend paying stock is modeled

using a 1-period binomial tree. you are given:

(1)the continuously compounded rate of return on the option is 0.25

(2)the continuously compounded risk-free rate is 0.05

(3)u=1.2

(4)d=0.8

(5)Cu=10

(6)Cd=0

determine the continuously compounded rate of return on the stock

這題我會算

但如果題目改成股利率=0.02 答案會變嗎?

the continuously compounded rate of return on the stock指的是股票資本利得

還是有包括股利率在裡面了呢?

在後面章節 我們知道由sharpe ratio可以得到total return

=capital return + dividend rate

那the continuously compounded rate of return on the stock 指的是

total return 或者 capital return?

謝謝回答


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