单选题
Consider a call option expiring in 60 days on a non-dividend-paying stock trading at 53 when the risk-free rate is 5%. The lower bound for a call option with an exercise price of 50 is:
A、
$3.00.
B、
$3.40.
C、
$3.55.
【正确答案】
B
【答案解析】
53 - 50/ (1.05 )
60/365
= 3.40.
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