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.
$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.
c-p=s-k=50-（45/1.1）
