题目
A six-month European put option on a non-dividend-paying stock has a strike price of $100 when the current stock price is $100. The risk free rate is 4%. N(d1) = 0.57 and N(d2) = 0.48. What is the Black-Scholes price of the put option?
选项
A.-$9.95
B.$6.96
C.$7.97
D.$8.33
答案
C
解析
N(-d_1)=1-N(d_1)=1-0.57=0.43;N(-d_2)=1-N(d_2)=1-0.48=0.52.put=Ke^(-rT) N(-d_2)-S_0 N(-d_1 )= $7.97N(－d_1)=1－N(d_1)=1－0.57=0.43;N(－d_2)=1－N(d_2)=1－0.48=0.52.put=Ke^(－rT) N(－d_2)－S_0 N(－d_1 )= $7.97