这道题最后算的C0得多少呢？

问题如下：

A call on a US$100 stock with exercise price of US$95. The periodically compounded interest rate is 1.0%, the stock will pay a US$3 dividend at Time Step 1, u = 1.224, d = 0.796, and the call option expires in two years. Some results for an American- style call option are as follows:

选项：

解释：

At Time 1, The exercise value for this call option, including dividends, is 26.7644, whereas the value of the call option per the binomial model is 24.9344. In other words, the stock price just before it goes ex- dividend is 118.7644 + 3 = 121.7644, so the option can be exercised for 121.7644 – 95 = 26.7644. If not exercised, the stock drops as it goes ex- dividend and the option becomes worth 24.9344 at the ex- dividend price.

Thus, by exercising early, the call buyer acquires the stock just before it goes ex- dividend and thus is able to capture the dividend. If the call is not exercised, the call buyer will not receive this dividend. The American- style call option is worth more than the European- style call option because at Time Step 1 when an up move occurs, the call is exercised early, capturing additional value.