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syfzln · 2025年05月08日

9.09

NO.PZ2024061801000053

问题如下:

Consider an American call and put option on the same stock. Both options have the same one-year expiration and a strike price of $45. The stock is currently priced at $50, and the annual interest rate is 10%. Which of the following amounts could be the difference in the two option values?

选项:

A.

$4.95.

B.

$7.95.

C.

$9.35.

D.

$12.50.

解释:

The upper and lower bounds are: S0 X C P S0 PV(X) or $5 C P $9.09.

Only $7.95 falls within the bounds.

这里9.09是用离散利率算的吧 复利算出来9.28

0 个答案