NO.PZ2018062007000078
问题如下：
Assume a call option’s strike price is initially equal to the price of its underlying asset. Based on the binomial model, if the volatility of the underlying decreases, the lower of the two potential payoff values of the hedge portfolio:
选项：
A.decreases.
B.remains the same.
C.increases.
解释：
B is correct. When the volatility of the underlying decreases, the value of the option also decreases, meaning that the upper payoff value of the hedge portfolio combining them declines. However, the lower payoff value remains at zero.
请问老师，本题目的第一句话：Assume a call option’s strike price is initially equal to the price of its underlying asset. 是不是一个误导说明呢？没有在本题目中没有实质意义是吗？
