单选题
An American call has a strike price of $60 and expires in 1.5 years. The current price of the underlying is $58.5 and the risk-free rate is 3.5%. The minimum value of this call is:
A. $0
B. $0.53
C. $1.52
A
B
C
【正确答案】
C
【答案解析】
[解析] C
t
＞=max[0，s
t
-X/(1+RFR)
T-t
]，S
t
-X/(1+RFR)
T-t
=$58.5-$60/(1+3.5%)
1.5
=$1.52.
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