NO.PZ2017092702000095
问题如下:
A call option on a stock index is valued using a three-step binomial tree with an up move that equals 1.05 and a down move that equals 0.95. The current level of the index is $190, and the option exercise price is $200. If the option value is positive when the stock price exceeds the exercise price at expiration and $0 otherwise, the number of terminal nodes with a positive payoff is:
选项:
A.one.
B.two.
C.three.
解释:
A is correct.
Only the top node value of $219.9488 exceeds $200
請問分裂到219.9488,是因爲題目中「three-step binomial tree」中這句話嗎?所以分裂三次?謝謝