CFA论坛 - Powered by Discuz! Board

标题: EU call max value [打印本页]

作者: aurific 时间: 2011-7-13 16:25 标题: EU call max value

Hi,
Could someone explain why is the max value for European call is S(t) while not its discounted value, i.e. S(t)/(1+RFR)^(T-t) since it is only exercisable at expiration date t=T?
Thanks!

作者: Daniel1985 时间: 2011-7-13 16:25

T=t
so (1+rfr)^(T-t) = (1+rfr)^0 = 1

CP

欢迎光临 CFA论坛 (http://forum.theanalystspace.com/)