单选题

When valuing a call option using the binomial model, an increase in the probability that the underlying will go up, most likely implies that the current price of the call option:

【正确答案】 A
【答案解析】

The probability that the underlying will go up is not part of the binomial model for pricing options. This probability is irrelevant, since the options are priced using risk-neutral probabilities. These are derived by constructing a hedged portfolio in the absence of arbitrage opportunities.