0.5是怎么来的

NO.PZ2021061002000065

问题如下：

Suppose the strike price of a one-year call option is CAD100, the risk free rate is 2%. At time 0, the underlying asset, S₀, trades at CAD98, now six months have passed, the underlying asset, S_t, trades at CAD102.

Which of the following calculations of the upper and lower bounds of the call option is correct?

选项：

The upper bound of the call option is CAD102; the lower bound of the call option is 0;

The upper bound of the call option is CAD102; the lower bound of the call option is CAD2.9852;

The upper bound of the call option is CAD2.9852; the lower bound of the call option is 0;

解释：

中文解析：

计算如下：

c_{t,Lower bound} = Max(0, S_t − X(1 + r)^−(T^−t) ) = Max (0, 102 – 100(1+2%)^-0.5) = CAD2.9852

c_{t,Upper bound} = S_t= CAD102

为什么T-t是0.5

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pzqa35 · 2024年06月13日

嗨，爱思考的PZer你好：

Suppose the strike price of a one-year call option，now six months have passed，这两句表明一开始的期权合约是1年期的，现在已经过去了六个月，就还剩0.5年到期。

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0.5是怎么来的

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