NO.PZ2023091601000017
问题如下：
The value of an asset A
will take on one of three values(30、50、80)in one year with
probabilities 0.4,0.35,0.25. If the strike price K=40,then the payoff of the
call option can be written as c(A)=max(S-40,0), the expected payoff of the call
option is:
选项：
A.
17.5
B.
3.5
C.
13.5
D.
10
解释：
The expected payoff
of the call option is
E[c(A)]=0.4×max(30-40,0)+0.35×max(50-40,0)+0.25×max(80-40,0)
=0.4×0+0.35×10+0.25×40=13.5
低于执行价格就是0
对吗
