NO.PZ2018062007000078
问题如下：
Assume a call option’s strike price is initially equal to the price of its underlying asset. Based on the binomial model, if the volatility of the underlying decreases, the lower of the two potential payoff values of the hedge portfolio:
选项：
A.
decreases.
B.
remains the same.
C.
increases.
解释：
B is correct. When the volatility of the underlying decreases, the value of the option also decreases, meaning that the upper payoff value of the hedge portfolio combining them declines. However, the lower payoff value remains at zero.
中文解析：
题干的意思是当基础资产价格波动降低时，这个call option的潜在的较低payoff会怎样变化。
我们知道期权较低的payoff就是它不行权的时候，这个时候它的payoff是0；
当基础资产波动降低时，基础资产价格涨的更高的可能性就会降低，那么潜在的upper payoff就会降低，但lower payoff仍然是它不行权的时候的value，也就是还是0.
这道题题干为什么是based on binomial model呀？
