问题如下图：
选项：
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解释：
这个是美式的吧？
NO.PZ2019070101000016问题如下 Suses the two-periobinomimol to estimate the value of a two-ye European- style call option on Bet Company’s common shares. The inputs are follows.The current stopriis 96, anthe call option exercise priis 70.The up factor (u) is 1.200, anthe wn factor ( is 0.83.The risk-free rate of return is 4%. The value of the option is close to? A.$0.00.B.$23.52.C.$32.06.$45.18.C is correct.考点A Two-Step BinomiMol解析解析u=1.2，1/u=1/1.2=0.83p=(e0.04-0.83)/(1.2-0.83)=0.57$ 47.96=e-0.04(68.24*0.57+25.62*0.43)$ 14.03= e-0.04(25.62*0.57+0*0.43)$ 32.06= e-0.04(47.96*0.57+14.03*0.43)想问一下这个0.57是怎么来的
老师你好，问一道经典题里的二叉树题目27.4。答案里求risk-neutrprobability时，u分别是0.8和1.2，请问是根据哪句话得到volatility 和u的？谢谢！
解析有错误哦 后台小哥哥更新一波吧啊哈哈
