题目
The domestic U.S. (USD) risk-free interest rate is 1.0% per annum and the foreign Eurozone (EUR) risk-free interest rate is 2.0% per annum. The EUR/USD exchange rate has a volatility of 28%. We want to value a US dollar-denominated European-style currency call option on the Euro with a one-year term to expiration. Our binomial model uses a four-step tree, such that each step is three months. What is the risk-neutral probability of an up movement （ ）?
选项
A.0.456
B.0.497
C.0.508
D.0.584
答案
A
解析
「huixue_img/importSubject/1564170386512416768.png」