答案和详解如下： 1.Consider a call option expiring in 60 days on a non-dividend-paying stock trading at 53 when the risk-free rate is 5%. The lower bound for a call option with an exercise price of 50 is: A) $3.00. B) $3.40. C) $0. D) $3.55. The correct answer was B) 53 - 50/(1.05)60/365 = 3.40. 2.Consider a call option expiring in 110 days on a non-dividend-paying stock trading at 27 when the risk-free rate is 6%. The lower bound for a call option with an exercise price of 25 is: A) $2.00. B) $2.44. C) $0. D) $1.97. The correct answer was B) 27 - 25/(1.06)110/365 = 2.435. 3.Consider a put option expiring in 120 days on a non-dividend-paying stock trading at 47 when the risk-free rate is 5 percent. What are the lower bounds for an American put and a European put with exercise prices of 50?
A) $2.20 $2.20 B) $2.20 $3.00 C) $3.00 $3.00 D) $3.00 $2.20 The correct answer was D) An American put can be exercised immediately for a $3 gain, the European put cannot be exercised until expiration so its minimum value is 50/(1.05)120/365 - 47 = $2.20. | 
发表于 2008-4-9 17:29
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