画

问题如下：

A manager plans to estimate the value of European-style put option by using two-period binomial model. The current stock price is $32, and exercise price of put option is $32.The up factor is 1.12, and the down factor is 0.92. The risk-free rate is 5%. The value of this put option is:

选项：

0.5461

0.6523

1.0432

解释：

A is correct.

考点：二叉树求value

解析：

$\pi\text{u}=\frac{1+R_f-d}{u-d}=\frac{1+5\%-0.92}{1.12-0.92}=0.65$

画二叉树：

$P_1^-=\frac{4.9152\times0.35+0\times0.65}{1+0.05}=1.6384$

P⁺=0

$P_0=\frac{1.6384\times0.35+0\times0.65}{1.05}=0.5461$