When pricing an option with a discrete time model using the same volatility
assumption, as compared to a continuous time model, the value will tend to go:
a. Up
b. Down
c. Up or down, according to the in-the-moneyness of the option
d. Up or down, no rules
答案是B,不知道为什么discrete model 会偏低? 这好象是01年的一道题