题目
A stock price is USD 50 with a volatility of 22%. The risk free rate is 3%. Use the Black-Scholes-Merton formula to value (a) a European call option and (b) a European put option when the strike price is USD 50, and the time to maturity is nine months.
选项
A.4.3/2.3
B.4.3/3.2
C.3.4/2.3
D.3.4/3.2
答案
B
解析
「huixue_img/importSubject/1564170386365616128.png」「huixue_img/importSubject/1564170386436919296.png」=SN(1)-rT)dput=Ke^(-rT)N(-d2)-S0N(-d1)=3.2