问题
单项选择题
Consider a call option expiring in 60 days on a non-dividend-paying stock trading at 53 when the risk-free rate is 5%. The lower bound for a call option with an exercise price of 50 is:
A．
| A. $3.00. |
B．
| B. $3.40. |
C．
| C. $3.55. |
答案
参考答案：B
解析：
53 - 50/ (1.05 ) 60/365 = 3.40.
