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. $2.00.
  • B. $2.44.
  • C. $1.97.
【正确答案】 B
【答案解析】27 -25/(1.06) 110/365 =2.435.