0.0883是怎么来的

NO.PZ2020021205000008 问题如下 A stopriis currently 40. It is known thit will 42 or 38 the enof a month. The risk-free rate is 4% per annum with continuous compounng. Whis the value of a one-month call option with a strike priof 39?p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 7.5px Helveticcolor: #474046}span.s1 {color: #675248}span.s2 {color: #4a5465} In this case, u = 42/40 = 1.05 an= 38/40 = 0.95p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #484046}span.s1 {color: #777475}span.s2 {font: 10.0px Helvetica}so that:p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 10.0px Helveticcolor: #474045}span.s1 {font: 9.0px Helvetica}p =e0.04X0.0833−0.951.05  −  0.95\frac{e^{0.04X0.0833}-0.95}{1.05\;-\;0.95}1.05−0.95e0.04X0.0833−0.95​= 0.5334anthe value of the option isp.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #484247}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #4a4449}span.s1 {color: #466b}span.s2 {font: 7.0px Helvetica}(0.5334 X 3 + 0.4666 X 0)*e−0.04X0.0833e^{-0.04X0.0833}e−0.04X0.0833=1.595p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #4a4449}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #474045} In this case, u = 42/40 = 1.05 an= 38/40 = 0.95求问 u 和 为何可以这么求出来？然后option value是根据哪条公式推出来的？