Consider a put option expiring in 120 days

问题单项选择题

Consider a put option expiring in 120 days on a non-dividend-paying stock trading at 47 when the risk-free rate is 5 percent. What are the lower hounds for an American put and a European put with exercise prices of 50 American Put European Put （） ①A. $2.20 $2.20 ②B. $2.20 $3.00 ③C. $3.00 $2.20

A．①

B．②

C．③

答案

参考答案：C

解析：

An American put can be exercised immediately for a $ 3 gain. The European put cannot be exercised until expiration, so its minimum value is 50/(1.05)^120/365-47=$ 2.20.