NO.PZ2023041003000033
问题如下：
Messer replies, “The
binomial valuation model can be applied to the 2-yearEuropean style index call
options we purchased one year ago. The applicable underlying instrument is the
German Blue Chip Equity price index, which excludes dividends. Exhibit 1
shows the option’s characteristics at the time of purchase.”
Using the binomial
valuation method and the data in Exhibit 1, the price Messer paid one year
ago for the call option with a strike price of EUR750 is closest to:
选项：
A.
EUR 51.54.
B.
EUR 47.57.
C.
EUR 102.08.
解释：
The price of the
call option at time 0 was EUR 51.5363. The following is the two-step binomial
tree:
请在纸上写一下完整步骤。
