NO.PZ2020021205000016
问题如下:
Use a two-step tree to value an eight-month American put option on a futures contract. The current futures price is 58 and the risk-free rate is 5%. The strike price is 60 and the volatility is 24% per annum.
选项:
解释:
The option is exercised at node A. The value today is 5.478
u= 1.1486
d= 0.8706
没错
p = (exp(0.05/3)-d) / (u-d) = 0.5259
为什么答案算出来的概率和我算的不一样