FRM I Financial Market and Products经典题27.4

题目里说，the stock price can go up and down by 20% each period，因此这里u和d分别取1.2和0.8.

然后带入公式p_up=[e^(rt)-d]/(u-d) 。同学这么算和答案不一样吗？

27.4和27.5题有共同的题干：

Common text for questions following two questions:
A risk manager for Bank XYZ, Mark is considering writing a 6 month American put option on a non-dividend paying stock ABC. The current stock price is USD 50 and the strike price of the option is USD 52. In order to find the no-arbitrage price of the option Mark uses a two-step binomial tree model. The stock price can go up or down by 20% each period. Mark’s view is that the stock price has an 80% probability of going up each period and a 20% probability of going down. The annual risk-free rate is 12% with continuous compounding.

我看了一下我答案版的讲义有这段话。无答案版的没有，我这就补充进去。谢谢同学提醒。