题目
Consider a six-month at-the-money (ATM) European call option on a non-dividend-paying stock with a current price of $80.00. Peter the Risk Analyst has employed a two-step (i.e., three months per step) binomial model to price the option, as displayed below:「huixue_img/importSubject/1564170385849716736.png」Peter's model matches the up and down movements to his estimate of the stock's prospective volatility, which he assumes is 34.0% per annum. The risk-free rate is 4.0%. Which of the following is nearest to the risk-neutral probability of the stock price going up in a single step?
选项
A.45.61%
B.46.44%
C.48.70%
D.52.52%
答案
C
解析
「huixue_img/importSubject/1564170385929408512.png」