老师帮看看我哪错了

问题如下：

Assume the stock price is currently $80, the stock price annual up-move factor is 1.15, and the risk-free rate is 3.9%. The value of a 2-year European put option with an exercise price of $62 using a two-step binomial model is closest to:

选项：

A.

$0.42.

B.

$16.89.

C.

$18.65.

D.

$21.05.

解释：

put = call – stock + (exercise price × e–rT)= $23.07 – $80 + [$62 × e^(–0.039*2)] = $0.42