请问这里折现的时候，为什么不用加上coupon7呢？

NO.PZ2018122701000063 问题如下 A Europeput option, whiwoulexpirein two years, ha strike priof $101.00. The unrlying bonhthree years to maturity with 7% annucoupon. It is known ththe risk-neutrprobability of wnwarmove is 0.3 in ye1 an0.4 in ye2. The current interest rate is 3.00% the enof yel, the rate will either 5.88% or 4.66%. If the rate in ye1 is 5.88%, it will either rise to 8.56% or rise to 6.34% in ye2. If the rate in ye1 is 4.66%, it will either rise to 6.34% or crease to 4.58%. The value of the put option toy is closest to: A.$1.10. B.$1.32. C.$1.48. $1.99. A is correct.考点Option on bon析先求出两年后的 bonvalue 在利率为 8.56%, 6.34%, 4.58% 时分别为 98.56, 100.62, 102.31，对应 put option value 分别为 2.44, 0.38, 0The option value in the upper no the enof ye1 is computeas:($2.44×0.6)+($0.38×0.4)1.0588=$1.52\frac{{(\$2.44\times0.6)}+{(\$0.38\times0.4)}}{1.0588}=\$1.521.0588($2.44×0.6)+($0.38×0.4)​=$1.52The option value in the lower no the enof ye1 is computeas:($0.38×0.6)+($0.00×0.4)1.0466=$0.22\frac{{(\$0.38\times0.6)}+{(\$0.00\times0.4)}}{1.0466}=\$0.221.0466($0.38×0.6)+($0.00×0.4)​=$0.22The option value toy is computeas:($1.52×0.7)+($0.22×0.3)1.0300=$1.10\frac{{(\$1.52\times0.7)}+{(\$0.22\times0.3)}}{1.0300}=\$1.101.0300($1.52×0.7)+($0.22×0.3)​=$1.10 如题

NO.PZ2018122701000063问题如下 A Europeput option, whiwoulexpirein two years, ha strike priof $101.00. The unrlying bonhthree years to maturity with 7% annucoupon. It is known ththe risk-neutrprobability of wnwarmove is 0.3 in ye1 an0.4 in ye2. The current interest rate is 3.00% the enof yel, the rate will either 5.88% or 4.66%. If the rate in ye1 is 5.88%, it will either rise to 8.56% or rise to 6.34% in ye2. If the rate in ye1 is 4.66%, it will either rise to 6.34% or crease to 4.58%. The value of the put option toy is closest to: A.$1.10.B.$1.32.C.$1.48.$1.99. A is correct.考点Option on bon析先求出两年后的 bonvalue 在利率为 8.56%, 6.34%, 4.58% 时分别为 98.56, 100.62, 102.31，对应 put option value 分别为 2.44, 0.38, 0The option value in the upper no the enof ye1 is computeas:($2.44×0.6)+($0.38×0.4)1.0588=$1.52\frac{{(\$2.44\times0.6)}+{(\$0.38\times0.4)}}{1.0588}=\$1.521.0588($2.44×0.6)+($0.38×0.4)​=$1.52The option value in the lower no the enof ye1 is computeas:($0.38×0.6)+($0.00×0.4)1.0466=$0.22\frac{{(\$0.38\times0.6)}+{(\$0.00\times0.4)}}{1.0466}=\$0.221.0466($0.38×0.6)+($0.00×0.4)​=$0.22The option value toy is computeas:($1.52×0.7)+($0.22×0.3)1.0300=$1.10\frac{{(\$1.52\times0.7)}+{(\$0.22\times0.3)}}{1.0300}=\$1.101.0300($1.52×0.7)+($0.22×0.3)​=$1.10 Bonvalue 具体计算过程

NO.PZ2018122701000063 问题如下 A Europeput option, whiwoulexpirein two years, ha strike priof $101.00. The unrlying bonhthree years to maturity with 7% annucoupon. It is known ththe risk-neutrprobability of wnwarmove is 0.3 in ye1 an0.4 in ye2. The current interest rate is 3.00% the enof yel, the rate will either 5.88% or 4.66%. If the rate in ye1 is 5.88%, it will either rise to 8.56% or rise to 6.34% in ye2. If the rate in ye1 is 4.66%, it will either rise to 6.34% or crease to 4.58%. The value of the put option toy is closest to: A.$1.10. B.$1.32. C.$1.48. $1.99. A is correct.考点Option on bon析先求出两年后的 bonvalue 在利率为 8.56%, 6.34%, 4.58% 时分别为 98.56, 100.62, 102.31，对应 put option value 分别为 2.44, 0.38, 0The option value in the upper no the enof ye1 is computeas:($2.44×0.6)+($0.38×0.4)1.0588=$1.52\frac{{(\$2.44\times0.6)}+{(\$0.38\times0.4)}}{1.0588}=\$1.521.0588($2.44×0.6)+($0.38×0.4)​=$1.52The option value in the lower no the enof ye1 is computeas:($0.38×0.6)+($0.00×0.4)1.0466=$0.22\frac{{(\$0.38\times0.6)}+{(\$0.00\times0.4)}}{1.0466}=\$0.221.0466($0.38×0.6)+($0.00×0.4)​=$0.22The option value toy is computeas:($1.52×0.7)+($0.22×0.3)1.0300=$1.10\frac{{(\$1.52\times0.7)}+{(\$0.22\times0.3)}}{1.0300}=\$1.101.0300($1.52×0.7)+($0.22×0.3)​=$1.10 解析中的bonprice是不是错了?我的计算是N=3, I/Y=8.56, PMT=7, FV=100 求出PV=96.02N=3, I/Y=6.34, PMT=7, FV=100 求出PV=101.753N=3, I/Y=4.58, PMT=7, FV=100 求出PV=106.64

NO.PZ2018122701000063 “先求出两年后的 bonvalue 在利率为 8.56%, 6.34%, 4.58% 时分别为 98.56, 100.62, 102.31”——请问具体如何计算得出？0.6和0.4的概率怎么运用，6.34%既是5.88%的往下版，又是4.66%的网上版。