S0+-应该是96吗？

问题如下：

Sam uses the two-period binomial model to estimate the value of a two-year American- style call option on Bet Company’s common shares. The inputs are as follows.The current stock price is 96, and the call option exercise price is 70.The up factor (u) is 1.20, and the down factor (d) is 0.83. .The continuously compounded risk-free rate of return is 4%. The value of the option is close to?

选项：

A.

$15.12.

B.

$26.32.

C.

$32.06.

D.

$35.18.

解释：

C is correct.

考点：A Two-Step Binomial Model

解析：

u=1.2，d=1/u=1/1.2=0.83

因为是美式期权，需要分别在每个节点判断一下是否行权，如果行权带来的价值更大，那么在这一节点就行权，如果行权的价值小于二叉树求出的价值，那么不行权。

p=(e^0.04-0.83)/(1.2-0.83)=0.57

$ 47.96=e^-0.04(68.24*0.57+25.62*0.43)

$ 14.03= e^-0.04(25.62*0.57+0*0.43)

$ 32.06= e^-0.04(47.96*0.57+14.03*0.43)