题目
Assume 250 trading days in the year. When the underlying stock has a volatility of 50.0% per annum and the risk-free rate is 4.0%, an at-the-money (ATM) European call option, with a strike price of $100.00 and a maturity of 125 trading days (0.5 years), has a price of $14.90 and a theta of -15.50 per year. Which is a good approximation of the option's price in ten (10) days, if no other variables change?
选项
A.$12.74
B.$13.90
C.$14.28
D.$15.15
答案
C
解析
$14.90 - ($15.50×10/250) = $14.28 (actual price is $14.2725)$14.90 － ($15.50×10/250) = $14.28 (真实价格为 $14.2725)