单选题 A European stock index call option has a strike price of $116.0 and a time to expiration 5 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 or the option price is closest to:

A、

A. $51.32
B、

B. $28.29
C、

C. $4O.00

【正确答案】 A

【答案解析】
The lower bound on a European call is either zero or the underlying price minus the present value of the exercise price, whichever is greater.
$1200 - ( $1160/1.04^0.25) = $51.32