Fair2020-10-07 09:57:43

押卷题44题，老师说让我们看答案，但答案只有一个选项，可否详细讲解一下，谢谢。 44. A European put option has two years to expiration and a strike price of $101.00. The underlying is a 7% annual coupon bond with three years to maturity. Assume that the risk-neutral probability of an up move is 0.5 in year 1 and 0.60 in year 2. The current interest rate is 3.00%. At the end of year 1, the rate will either be 5.99% or 4.44%. If the rate in year 1 is 5.99%, it will either rise to 8.56% or rise to 6.34% in year 2. If the rate in one year is 4.44%, it will either rise to 6.34% or rise to 4.70%. The value of the put option today is closet to: A. USD 0.77 B. USD 0.85 C. USD 1.49