NO.PZ2020021205000011
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. Use a two-step tree to determine the value of a six-month European call option on the stock with a strike price of 48.
选项：
解释：
In this case, u = 1.1052, d = 0.9048, and p = 0.5252.
The following two-step tree shows that the value of the
option is 4.511.
- 为什么u=e^(10%*1)=0.1052 而不是u=e^(20%*sqrt(1/2))?
- p是怎么算出来的？用公式e^(r^change in t)-d/(u-d)里r和change in t分别是多少？为什么？
