NO.PZ2023020101000024
问题如下：
Schwartz then asks Spelding to use the
information in Exhibit 1 to calculate the no-arbitrage value of a two-year
US-style put option, assuming that the option may be exercised in one year.
Exhibit
1: Binomial Model Variables and Values
The no-arbitrage value of a two-year
American-style put option is most
likely closest to:
选项：
A.
$12.72.
B.
$13.48.
C.
$13.75.
解释：
The
no-arbitrage approach to calculating the early exercise premium follows. Note
that the two-period binomial model is used to calculate (for purposes of
comparison) the value of the European-style put option and the American-style
put option. The value of the European-style put option is $12.72. The value of
the American-style put option is $13.48. Accordingly, the early exercise
premium is $.76. The calculations follow.
European
Style
American
Style
美国期权的t1的p-是怎么算？