问题如下:
A stock price is currently 50. Its volatility is 20% per annum. The risk-free rate is 4% per annum with continuous compounding. value an option that pays off max( - 2,400, 0) in six months where S is the stock price. (This is known as a power option.)
选项:
解释:
For the power option, the tree becomes as follows, and the value of the option is 408.363.
为什么是二期二叉树,题目中看不出来