单选题 Shigeo Kishiro recently purchased an American put option and Lendon Grey recently wrote an American call option on the same underlying stock, Tackel Sports (currently trading at $40 per share). Kishiro paid $2.75 for an exercise price of $38.00 and Grey received $3.75 for a strike price of $42. Assume that there are no transaction costs to exercise. At a stock price of $43: A. if Grey exercises, he will have gained a total of $4.75. B. the intrinsic put value is $0 and the put is at-the-money. C. the intrinsic call value is $1.

【正确答案】 C

【答案解析】The intrinsic value of a call is given as : Max [ 0, S - X ], where S = stock price and X = strike price. Here, Max [0, 43-42] =Max [0, 1] =1. The other answers are incorrect. The counterparty to Kishiro is the put writer. At a stock price of $43, Kishiro will not exercise ( the put is out-of-the money) , so the writer has a gain equal to the premium, or $2.75. Grey wrote the option and thus cannot exercise. The intrinsic value of the put is correct at $0, or Max[0, X -S] , but as previously noted, the put is out-of- the money at a stock price of $43.