NO.PZ2023041003000044
问题如下：
The Black model valuation and selected outputs
for options on another of Solomon’s holdings, the GPX 500 Index (GPX), are shown in
Exhibit 2. The spot index level for the GPX is 187.95, and the index is assumed
to pay a continuous dividend at a rate of 2.2% (5) over the life of the options
being valued, which expire in 0.36 years. A futures contract on the GPX also
expiring in 0.36 years is currently priced at 186.73.
What are the correct spot value (S) and the
risk-free rate (r) that Lee should use as inputs for the Black model?
选项：
A.186.73 and 0.39%, respectively
186.73 and 2.20%, respectively
187.95 and 2.20%, respectively
解释：
Black’s model to value a call option on a
futures contract is c = e-rT[F0(T)N(d1) - XN(d2)]. The underlying F0 is the futures price (186.73). The correct discount
rate is the risk-free rate, r = 0.39%.
是因为明确说了black model，所以只能用远期价格，而不能用现货价格187.95扣除连续分红，得到186.47吗？虽然选对了答案，后者算出186.47作为bsm输入变量的逻辑正确吗?
