The current price of a non-dividend paying stock is ¥50. Use a two-step tree to value an American put option on the stock with a strike price of ¥48 that expires in 12 months. Each step is 6 months, the risk free rate is 5% per annum, and the volatility is 20%. Which of the following is the option price?
A、
¥1.95
B、¥2.00
C、¥2.05
D、¥2.10
A、
¥1.95
B、¥2.00
C、¥2.05
D、¥2.10
金融工程学（双语）
章节列表
1 金融工程概述 Chapter 1 Introduction to Financial Engineering52 远期与期货概述 Chapter 2 Introduction to Forwards and Futures53 远期与期货的定价 Chapter 3 Pricing Forwards and Futures54 运用远期与期货进行套期保值 Chapter 4 Use forwards and futures for hedging55 金融远期与期货合约示例 Chapter 5 Examples of Financial Forwards and Futures Contracts56 互换 Chapter 6 Swap511 期末考试377 期权与期权市场 Chapter 7 Option and Option Markets58 期权价格特性 Chapter 8 Properties of Option Prices69 期权定价 Chapter 9 Option Pricing810 期权的应用 Chapter 10 Applications of Options10