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 0.76 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. $1.17 B. $1.30 C. $1.49 D. $1.98
该选哪一个？解题思路是什么？