单选题
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、
A. $2.00.
B、
B. $2.44.
C、
C. $1.97.
【正确答案】
B
【答案解析】
27 -25/(1.06)
110/365
=2.435.
提交答案
关闭