2008 CFA Level 1 － Sample 样题(1)－Q47 black, class

8586

47、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. $28.29.

C. $40.00.

D. $51.32.

      

[此贴子已经被作者于2008-11-7 15:20:14编辑过]

8586

Correct answer = D

"Option Markets and Contracts," Don M. Chance
2008 Modular Level I, Vol. 6, pp. 103-104
Study Session 17-73-h
calculate and interpret the lowest prices of European and American calls and puts based on the rules for minimum values and lower bounds
The lower bound on a European call is either zero or the underlying asset's price minus the present value of the exercise price, whichever is greater.
$1200 - ($1160 / 1.04^0.25) = $51.32. 

 

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louzhuqued

t

Riverview

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盛夏的果实

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gening

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gening

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oleander

d