正确答案：
上行股价=56.26×1.4221=80.01(元)下行股价=56.26×(1-29.68%)=39.56(元)股价上行时期权到期日价值Cu=上行股价-执行价格=80.01-62=18.01(元)股价下行时期权到期日价值Cd=0期望回报率=2%=上行概率×42.21%+下行概率×(-29.68%)2%=上行概率×42.21%+(1-上行概率)×(-29.68%)上行概率=0.4407下行概率=1-0.4407=0.5593期权6个月后的期望价值=0.4407×18.01+0.5593×0=7.9370(元)期权的现值=7.9370/1.02=7.78(元)
