NO.PZ2023091802000140
问题如下:
An investor holds an American call option on a dividend paying stock
with the following characteristics
Current stock price ,S=USD 50
Strike price, K=USD 50
Time to expiration ,T=2 mouths
A divided, D, of USD 1 per share has just been
announced ,with an ex-dividend date, t, of one month from now, Assuming the
risk-free rate, r, is 1.5% and the option stays at-the-money, is it optimal to
exercise the option right before the ex-dividend date?
选项:
A.
Yes, because S < K*exp(-r(T-t)) + D
B.
Yes, because D>K*(1-exp(-r(T-t)))
C.
No, because the call option is at-the-money ,and early exercise is only optimal when it is deep in-the-money
D.
No, because unlike an American put option, it is never optimal to exercise an American call option early.
解释:
请老师解释下这道题,谢谢