NO.PZ2020021205000008
问题如下：
A stock price is currently 40. It is known that it will be 42 or 38 at the end of a month. The risk-free rate is 4% per annum with continuous compounding. What is the value of a one-month call option with a strike price of 39?
选项：
解释：
In this case, u = 42/40 = 1.05 and d = 38/40 = 0.95
so that:
p == 0.5334
and the value of the option is
(0.5334 X 3 + 0.4666 X 0)*=1.595
In this case, u = 42/40 = 1.05 and d = 38/40 = 0.95
求问 u 和 d 为何可以这么求出来？
然后
option value是根据哪条公式推出来的？
