求解释。。。。。

问题如下：

Sam uses the two-period binomial model to estimate the value of a two-year  European- style call option on Bet Company’s common shares. The inputs are as follows.The current stock price is 96, and the call option exercise price is 70.The up factor (u) is 1.200, and the down factor (d) is 0.83.The risk-free rate of return is 4%. The value of the option is close to?
 

选项：

A.

$0.00.

B.

$23.52.

C.

$32.06.

D.

$45.18.

解释：

C is correct.

考点：A Two-Step Binomial Model

解析：

解析：

u=1.2，d=1/u=1/1.2=0.83

p=(e^0.04-0.83)/(1.2-0.83)=0.57

$ 47.96=e^-0.04(68.24*0.57+25.62*0.43)

$ 14.03= e^-0.04(25.62*0.57+0*0.43)

$ 32.06= e^-0.04(47.96*0.57+14.03*0.43)