问题
单项选择题
A European stock index call option has a strike price of $116.0 and a time to expiration 5 years. Given a risk-free rate of 4% , if the underlying index is trading at $1200 and has a multiplier of 1, then the lower bound for the option price is or the option price is closest to:
A．
| A. $51.32 |
B．
| B. $28.29 |
C．
| C. $4O.00 |
答案
参考答案：A
解析：
The lower bound on a European call is either zero or the underlying price minus the present value of the exercise price, whichever is greater.
$1200 - ( $1160/1.040.25) = $51.32