新题？八月没见过

问题如下：

Suppose the current price (S₀) of a non-dividend-paying stock is 100, and a put option on the stock has an exercise price (X) of $95 with one year left to maturity. Now an investor believes that the stock price is either up by 10% or down by 20%.

Which of the following calculations of the value of a put option is correct (assume a risk free rate is 4%)?

选项：

3

2.88

0.8

解释：

解析：

S₁^u = 100 * (1+10%) = 110; R^u = 1.1; p₁^u=Max(0, 95 -110)= 0

S₁^d = 100 * (1-20%) = 80; R^d = 0.8; p₁^d=Max(0, 95-80)= 15

The risk-neutral probability is:

The put option price is：