NO.PZ2019010402000018
问题如下：
A manager wants to price a put option by one-period binomial tree. The relative information is as follows:
- The current stock price is $30, exercise price of put option is $30
- The up factor is 1.12, and the down factor is 0.92
- The risk-free rate is 5%.
The value of this put option is:
选项：
A.0.6
B.0.84
C.0.8
解释：
C is correct.
考点：一期二叉树对股票期权定价
解析：
向上的概率πu =[(1+rf)-d ]/(u-d) = [(1+5%)-0.92] / (1.12-0.92)=0.65
向下的概率πd=1-0.65=0.35
p+=max(0, X-S+)=max(0,30-30×1.12)=0
p-=max(0, X-S-)=max(0,30-30×0.92)=2.4
老师您好。 您看是不是向上的概率是35%？ 而不是向下的概率。
