题目
A stock with a current price of $32 and volatility of 15% pays a dividend of 2.0% per annum (with continuous compounding). The riskless rate is 2.0%. We use a twelve-step binomial model to price an American put option with one year to expiration; i.e., each step is one month. What is the risk-neutral probability of a down movement (1-p)?
选项
A.0.4646
B.0.4962
C.0.5108
D.0.5375
答案
C
解析
「huixue_img/importSubject/1564170386663411712.png」