题目
Consider a European call option on a non-dividend-paying stock. The strike price is $80.00 while the stock price is currently $90.00. Barbara the Risk Analyst employs a two-step (i.e., three months per step) binomial model to price the option, as shown below:「huixue_img/importSubject/1564170387607130112.png」Barbara estimates the volatility of the stock is 26.0%, and she assumes the risk-free rate is 3.0%. Which of the following is nearest to her estimate of the price of the option?
选项
A.$12.97
B.$13.84
C.$14.35
D.$15.50
答案
B
解析
The option value is expected value in three months, discounted to the present: [($23.0920×49.642%) ($4.9270×50.358%)]×e^(-0.030×0.25)=$13.8399期权价值是三个月后的预期价值，折现计算为：[($23.0920×49.642%) ($4.9270×50.358%)]×e^(?0.030×0.25)=$13.8399