问题
单项选择题
An American call has a strike price of $60 and expires in 1.5 years. The current price of the underlying is $58.5 and the risk-free rate is 3.5%. The minimum value of this call is:（）
A. $0
B. $0.53
C. $1.52
答案
参考答案：C
解析：
Ct＞=max[0，st-X/(1+RFR)T-t]，St-X/(1+RFR)T-t=$58.5-$60/(1+3.5%)1.5=$1.52.