美式期权的二叉树模型

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sdtalrq 发表于 2010-5-2 06:31:35 |AI写论文

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2. JTE Corporation is a non-dividend-paying stock that is currently priced at $49.
An analyst has determined that the annual standard deviation of returns on JTE
stock is 8% and that the annual risk-free interest rate on a continuously
compounded basis is 5.5%. Calculate the value of a 6-month American call
option on JTE stock with a strike price of $50 using a two-period binomial model.
A. $0.32
B. $0.65
C. $1.31
D. $2.97

答案说选B 我算出来不对呢