You are abs right. I also found their solution wrong!
This is a clear bug/defect/error on the part of CFAI. The risk free rate compounding should match the duration of that option, ie either it should be a 1 year option or it should be discounted for 2 months only
Do others disagree with me. I could not find a similar example in CFAI text |
发表于 2013-4-22 07:33
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