问题
单项选择题
The value of an interest-rate call option at expiration is zero or the:()
A. present value of, the market rate minus the exercise rate, adjusted for the period of the rate, times the principal amount.
B. market rate minus the exercise rate, adjusted for the period of the rate, times the principal amount.
C. present value of, the exercise rate minus the market rate, adjusted for the period of the rate, times the principal amount.
答案
参考答案：A
解析：
An interest rate call pays zero or the market rate at expiration minus the exercise rate. Since the payment is made at a date after expiration by the period of the reference rate, the value at expiration is the present value of this difference times the principal value.