NO.PZ2024061801000078
问题如下：
A European call option has the following characteristics: S0= $50; X = $45; r = 5%; T= 1 year; and σ = 25%. Which of the following is closest to the value of the call?
选项：
A.$1.88.
B.$3.28.
C.$9.06.
D.$10.39.
解释：
S0= $50; X = $45; r = 5%; T = 1 year; and σ = 25%.
d2= 0.74644 – 0.25 = 0.49644
from the cumulative normal table:
N(d1) = 0.7731
N(d2) = 0.6915*
c = 50(0.7731) – 45^e(–0.05)*0.6915= 9.055
算出了d1和d2之后，考试时直接给N(d1)和N(d2)的数字吗？
