u和d是什么？

问题如下：

Which of the following statements is correct?

选项：

A.

In the binomial model, we assume that u represents the rise of the stock, and d represents the decline of the stock, and u+d =1

B.

The pricing of options depends on the fact that fully hedged investments earn a risk-free interest rate.

C.

The binomial model does not reflect the volatility of the underlying asset

解释：

B is correct

在二叉树模型中，我们需要确定u和d，分别代表着股票的上涨和下跌的幅度，并且一般认为u=1/d, A错；

在用hedged portfolio的方法对期权进行定价时，基于完全对冲时投资赚取的是无风险利率。B对；

二叉树的开叉程度反映了标的的波动率，C错