NO.PZ2023091802000130
问题如下:
A trader holds a 1-year American put option with a strike price of USD 100 on a stock currently trading at USD 85. To value the option, a one-stop binomial tree is used where the stock price can move up or down by USD 10 in the 1-year period. If the risk-neutral probability of the stock moving up is 81% and the risk free rate is 6% per year. What is the current value of the American put?
选项:
A.USD 8.29
B.USD 15.00
C.USD 17.01
D.USD 19.97
解释:
求此题的计算过程