问题
单项选择题
Consider a call option expiring in 110 days on a non-dividend-paying stock trading at 27 when the risk-free rate is 6%. The lower bound for a call option with an exercise price of 25 is:
A．
| A. $2.00. |
B．
| B. $2.44. |
C．
| C. $1.97. |
答案
参考答案：B
解析：
27 -25/(1.06) 110/365 =2.435.