T=1时的value为什么不能用t=1时的市场价格-执行价格？

问题如下：

Question An analyst gathers the following information about a 2-year European-style call option on the periodically compounded 1-year spot interest rate:

If the option is cash settled at Time 2 based on the observed rate, the option value as a percentage of the notional amount at Time 0 is closest to:

选项：

A.A.0.15%. B.B.0.24%. C.C.0.87%.

解释：

B Correct because the option value, c, at Time 0 is given by c = PVrf,0,1[πc+ + (1 – π)c–] = (1/1.030454) × [(0.5 × 0.4209%) + (1 – 0.5) × 0.0751%] ≈ 0.24%

where:

PVrf,0,1 = present value factor (from Time 1 to Time 0) = 1 / (1+r) = 1 / (1.030454)

π = risk-neutral probability of an up move (given) = 0.5

c+ = call option value at Time 1 when an up move occurs (given) = 0.4209%

c- = call option value at Time 1 when a down move occurs (given) = 0.0751%