[CFA level 1模拟真题]Version 2 Questions－Q47 spa

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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 / 1.04^0.25) = $51.32

vivian1022

k

jungle1009

see

denker5781

b

ponymaly

thanks

fantasy_ln

see

yangyangda

d

technet

d

ondesert

b

47dx

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