题目
A European put option on a non-dividend paying stock has a remaining life of 6 months with a strike of USD 50 and the risk-free rate of 1%, after 3 months which of the following stock prices has the highest time-value of the option (in% of stock price)?
选项
A.USD 10
B.USD 40
C.USD 50
D.USD 60
答案
C
解析
The at-the-money option has the highest time value, given its highest theta.平值状态下的期权的theta的绝对值最大，时间价值最高。