NO.PZ2020021205000016
问题如下:
Use a two-step tree to value an eight-month American put option on a futures contract. The current futures price is 58 and the risk-free rate is 5%. The strike price is 60 and the volatility is 24% per annum.
解释:
The option is exercised at node A. The value today is 5.478
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老师好,我的计算过程哪里算错了吗?又和答案对不上