NO.PZ202312130100000205
问题如下：
Which amount most closely estimates the DLOM for JNK?
选项：
A.
12.4%
B.
12.6%
C.
12.5%
解释：
B is correct. The put option approach involves an at-the-money option based on the prevailing forward price. Given the current price of EUR 29.70, the three-month forward price using a 4% risk-free rate is EUR 30 (=29.70e(0.25×0.04)),
so the put option with exercise price of EUR 30 should be used. Dividing the 3.75 option value by the EUR 29.70 stock price equals 12.6%.
30是这样算的吗，29.7乘（(1+4%/12)的3次方）
