【FRM每日一题】二级：信用&市场强化（6）
备考FRM二级 | 2015-12-03
A European put option has two years to expiration and a strike price of $101. The underlying is a 7% annual coupon bond with three years to maturity. Assume that the risk-neutral probability of an up move is 0.76 in year 1 and 0.60 in year 2. The current interest rate is 3%. 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 closest to:
A. $1.17
B. $1.30
C. $1.49
D. $1.98
Answer: A
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