This is the European option pricing model, and that is the normal distribution tree. Because both the rise and fall are 10%, calculating the option price is actually copying a combination with the same risk-free assets and stock returns (I hope you can understand). There are two prices in three months, down 36 and up 44. Because the exercise price is 42, you won't exercise the option at 36. The only thing that can be executed is 44, so if you execute 44, the return is 2,36 and the return is 0, then you only need to copy an asset with the same return with stocks and risk-free assets, and the price of that asset is equal to the price of the option (because the analysis of stocks and the risk of options are the same, so options can be regarded as the proportion of certain stocks, which is a bit awkward, but it is true), so how to copy this combination with the same return as options? You need to calculate the hedeg ratio, which is 0.25 here. This is because you need 2 yuan in return, and you only need to buy 25% of the shares. The change of stock returns is from 36 to 44, which is 8, and the change of option returns is 2, so isn't the change of 25% shares exactly 2? So how many 25% shares did you buy? 40x0.25= 10。 That is, if you buy a stock with 10 yuan, you will get the same return as the option, but note that you have to copy another return of 0, which requires your stock price to be 36. If the stock you borrow money to buy is exactly equal to 36x0,25, then your two returns are exactly equal to the return of the option (2,0). In this case, because of the interest, the present value of the money you want to pay back is equal to 36x0.25x (11.02), and it will become 36x0.25 after three months, just like the lowest price of your stock can be paid back, and your worst return is 0. After borrowing so much money, how much does it cost to buy 10 yuan stock? 1. 18. This is the option fee you have to pay, because you just need to copy it to the option with 1, 18 plus the borrowed margin. At the highest time, you can make this stock with only one quarter get a return of 0.25(44-36)=2, at the worst time. You can just make up for the cost of borrowing money. Isn't the option of 36xo.25 the same as that of 42 yuan? Is there a difference between 1, 18 and buying options? This is the price of the option. Tired, but it's actually quite difficult to explain.