题目
A stock with a (continuous) dividend yield of 1.0% has a current price of $30 and volatility of 22%. We use a two-step binomial model to value a two-year European style call option on the stock; i.e., each time step is one year. The risk-free rate is 3.0%. In the binomial tree, what is the stock price at the node with the lowest stock price?
选项
A.$14.78
B.$19.32
C.$22.49
D.$25.25
答案
B
解析
A two-step binomial has six nodes; the lower price occurs at S(0)×d×d, in the lower right. d = exp[-volatility × SQRT(time_step)] = exp[-22% ×SQRT(1)] = 0.8025;The lowest node = $30×exp(-22%)^2 = $19.321一个两步二叉树有6个分节点，较低的价格在S(0) ×d×d，在二叉树右下方。D =exp[－volatility ×(√(time_step ))]= exp[－22% ×√1] = 0.8025;最低的节点价格为$30×exp(－22%)^2 = $19.321