张同学2019-06-09 23:08:26
张同学老师，问一下官网mockB上午场第43题（Hannes Messer Case），如图，我看不到官网给的答案，可以给我一个计算过程吗？谢谢
回答（1）
One Punch Chen2019-06-10 18:53:56
One Punch Chen同学你好，A is correct. The price of the call option at time 0 was EUR51.5363. The following is the two-step binomial tree: 如图
C is incorrect because it is the value of C+.
B is incorrect because it represents the calculated call value reversing the probabilities of C+ and C−.
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