问题如下：
Sam uses the two-period binomial model to estimate the value of a two-year European- style call option on Bet Company’s common shares. The inputs are as follows.The current stock price is 96, and the call option exercise price is 70.The up factor (u) is 1.200, and the down factor (d) is 0.83.The risk-free rate of return is 4%. The value of the option is close to?
选项：
A.$0.00.
B.$23.52.
C.$32.06.
D.$45.18.
解释：
C is correct.
考点：A Two-Step Binomial Model
解析：
解析：
u=1.2，d=1/u=1/1.2=0.83
p=(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)
老师你好，问一道经典题里的二叉树题目：27.4。答案里求risk-neutral probability时，d和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！
