这道题能麻烦老师具体讲解一下吗

问题如下：

Two stocks, ABC and XYZ, have the same trading price, annual standard deviation, continuously compounded risk-free rate. But XYZ has the continuous dividend yield which is 1.5% while ABC doesn’t pay dividend. The 1-year call option on stock ABC is $4.65. Based on these information, what is the closest value of call option on stock XYZ with the same exercise price and exercise date?

选项：

A.

$4.21 .

B.

$4.87 .

C.

$5.26 .

D.

$6.48 .

解释：

A is correct.

考点：Put-Call Parity

解析：除了XYZ会支付股利以外，ABC和XYZ两只股票所有信息都相同。有股利支付的看涨期权的价值会小于相同条件下没有股利支付的看涨期权的价值，因此XYZ的call option value 应该小于ABC call option value。在所有答案中，只有A选项是小于4.65的，答案为A选项。