NO.PZ2024061801000052
问题如下:
Consider a one-year European put option that is currently valued at $5 on a $25 stock and a strike of $27.50. The one-year risk-free rate is 6%. Which of the following amounts is closest to the value of the corresponding call option?
选项:
A.$0.00.
B.$3.89.
C.$4.06.
D.$5.00.
解释:
c = p − PV(X) + S0 = $5 − ($27.50 / 1.06) + $25 = $4.06
Consider a one-year European put option that is currently valued at $5 on a $25 stock and a strike of $27.50. The one-year risk-free rate is 6%. Which of the following amounts is closest to the value of the corresponding call option?
您的回答C, 正确答案是: C
A
$0.00.
B
$3.89.
C
正确$4.06.
D
$5.00.
数据统计(全部)
做对次数: 35
做错次数: 5
正确率: 87.50%
数据统计(个人)
做对次数: 1
做错次数: 0
正确率: 100.00%
解析
c = p − PV(X) + S0 = $5 − ($27.50 / 1.06) + $25 = $4.06
Why the answer here is not using Continuous Compounding, e^(-rT) to calculate? Thank you