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顾燮 · 2020年05月31日

问一道题:NO.PZ2017092702000095

问题如下:

A call option on a stock index is valued using a three-step binomial tree with an up move that equals 1.05 and a down move that equals 0.95. The current level of the index is $190, and the option exercise price is $200. If the option value is positive when the stock price exceeds the exercise price at expiration and $0 otherwise, the number of terminal nodes with a positive payoff is:

选项:

A.

one.

B.

two.

C.

three.

解释:

A is correct.

Only the top node value of $219.9488 exceeds $200

请问这道题是哪里说了三期二叉树的呀 做到第二期就有超过200了的

1 个答案

星星_品职助教 · 2020年05月31日

同学你好,

题干要求使用“using a three-step binomial tree ”所以需要把三期二叉树都画出来

由于题目问的是“the number of terminal nodes ”,所以画出二叉树后前面两期都不用看,就看最后一期那四个值就可以了。

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