题目
Martha used a three-step binomial model to value a (long-term) put option with three years to maturity; i.e., each time step is one year. While the risk-free rate is 4.0%, the underlying asset's volatility is 28.480%. Using these assumptions, she was pleasantly surprised to see that the risk-neutral probability of up movement in her model as 50.0%; i.e., p = d = 0.50. However, she forgot to include the assumption that the asset will pay a continuous dividend of 2.0% per annum. By how much will this assumption change her mode's risk-neutral probability of a down (d) movement?
选项
A.Decrease probability of down movement, (d), by about 10.79% percentage points
B.Decrease probability of down movement, (d), by about 3.57% percentage points
C.Increase probability of down movement, (d), by about 3.57% percentage points
D.Increase probability of down movement, (d), by about 10.79% percentage points
答案
C
解析
「huixue_img/importSubject/1564170386294312960.png」