问题如下图：
选项：
A. 
B. 
C. 
解释：
可否用画图方式再解释一下过程，答案中的解析脑子有点凌乱
NO.PZ201702190300000308 问题如下 Baseon Exhibit 2 anthe parameters useSousthe value of the interest rate option is closest to: A.5,251. B.6,236. C.6,429. C is correct. Using the expectations approach, per 1 of notionvalue, the values of the call option Time Step 2 arec++ = Max(0,5++ - X) = Max(0,0.050 - 0.0275) = 0.0225. c+- = Max(0,5+- - X) = Max(0,0.030 - 0.0275) = 0.0025.c-- = Max(0,5- - - X) = Max(0,0.010 - 0.0275) = 0.Time Step 1, the call values are = PV[nc++ + (1 - π)c+-].c+= 0.961538[0.50(0.0225) + (1 - 0.50)(0.0025)] = 0.012019.= PV[nc+- + (1 - π)c--].= 0.980392[0.50(0.0025) + (1 - 0.50)(0)] = 0.001225.Time Step 0, the call option value isc = PV[π+ (1 - π)c-].c = 0.970874[0.50(0.012019) + (1 - 0.50)(0.001225)] = 0.006429.The value of the call option is this amount multipliethe notionvalue, or 0.006429 x 1,000,000 = 6,429.中文解析本题考察的是利率二叉树，需要注意两点一是利率二叉树下向上和向下的概率是已知且确定的，都为0.5；二是在折现的时候要注意使用的是节点利率，例如把c++ c+-向前折现求c+时，注意应该使用的是iu。 c++ = Max(0,5++ - X) = Max(0,0.050 - 0.0275) = 0.0225这里的c++ 为啥没有除以1.05呢？第三年初确定的收益率5%，决定第三年的利息，5%-2.75%的收益应该折现到第三年初，再按 4%折现到第二年年初，再按3%折现到第一年年初？
NO.PZ201702190300000308 问题如下 Baseon Exhibit 2 anthe parameters useSousthe value of the interest rate option is closest to: A.5,251. B.6,236. C.6,429. C is correct. Using the expectations approach, per 1 of notionvalue, the values of the call option Time Step 2 arec++ = Max(0,5++ - X) = Max(0,0.050 - 0.0275) = 0.0225. c+- = Max(0,5+- - X) = Max(0,0.030 - 0.0275) = 0.0025.c-- = Max(0,5- - - X) = Max(0,0.010 - 0.0275) = 0.Time Step 1, the call values are = PV[nc++ + (1 - π)c+-].c+= 0.961538[0.50(0.0225) + (1 - 0.50)(0.0025)] = 0.012019.= PV[nc+- + (1 - π)c--].= 0.980392[0.50(0.0025) + (1 - 0.50)(0)] = 0.001225.Time Step 0, the call option value isc = PV[π+ (1 - π)c-].c = 0.970874[0.50(0.012019) + (1 - 0.50)(0.001225)] = 0.006429.The value of the call option is this amount multipliethe notionvalue, or 0.006429 x 1,000,000 = 6,429.中文解析本题考察的是利率二叉树，需要注意两点一是利率二叉树下向上和向下的概率是已知且确定的，都为0.5；二是在折现的时候要注意使用的是节点利率，例如把c++ c+-向前折现求c+时，注意应该使用的是iu。 我看这道大题前面计算european和americoption的时候，例如p++ = Max(0,X - u2S) = Max[0,40 - 1.3002(38)] = Max(0,40 - 64.22) = 0.都乘以的是probability的平方，想问下计算Interest rate option为什么在t=2时刻也只是乘以0.5，而不是0.5^2
NO.PZ201702190300000308 问题如下 Baseon Exhibit 2 anthe parameters useSousthe value of the interest rate option is closest to: A.5,251. B.6,236. C.6,429. C is correct. Using the expectations approach, per 1 of notionvalue, the values of the call option Time Step 2 arec++ = Max(0,5++ - X) = Max(0,0.050 - 0.0275) = 0.0225. c+- = Max(0,5+- - X) = Max(0,0.030 - 0.0275) = 0.0025.c-- = Max(0,5- - - X) = Max(0,0.010 - 0.0275) = 0.Time Step 1, the call values are = PV[nc++ + (1 - π)c+-].c+= 0.961538[0.50(0.0225) + (1 - 0.50)(0.0025)] = 0.012019.= PV[nc+- + (1 - π)c--].= 0.980392[0.50(0.0025) + (1 - 0.50)(0)] = 0.001225.Time Step 0, the call option value isc = PV[π+ (1 - π)c-].c = 0.970874[0.50(0.012019) + (1 - 0.50)(0.001225)] = 0.006429.The value of the call option is this amount multipliethe notionvalue, or 0.006429 x 1,000,000 = 6,429.中文解析本题考察的是利率二叉树，需要注意两点一是利率二叉树下向上和向下的概率是已知且确定的，都为0.5；二是在折现的时候要注意使用的是节点利率，例如把c++ c+-向前折现求c+时，注意应该使用的是iu。 如题
NO.PZ201702190300000308 为什么这个二叉树不是用无风险利率折现呢，interest rate不是unrlying asset 吗
NO.PZ201702190300000308 画树算出来等于0.01178， 怎么得到答案
