题目
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.
答案
A
解析
A is correct. Only the top node value of $219.9488 exceeds $200.「huixue_img/importSubject/1564548696308322304.png」 A正确。只有顶部节点值$219.9488超过$200。