Q47. A European stock index call option has a strike price of $1160 and a time to expiration of 0.25 years, Given a risk-free rate of 4%, if the underlying index is trading at $1200 and has a multiplier of 1, then the lower bound for the option price is closest to: A. $ 0.00 B. $ 28.24 C. $ 40.00 D. $ 51.32 答案和详解如下：
Q47. D Study Session 17-76.f The lower bound on a European call is either or the underlying price minus the present value of the exercise price, whichever is greater. $1200 – ($1160 / 1.040.25) = $51.32
| 
发表于 2007-11-5 19:19
| 
