题目
Assume an underlying non-dividend-paying stock has a current price of $40.00 with volatility of 25.0% per annum while the risk-free rate is 4.0% per annum. The price of a six-month, at-the-money (maturity = 0.5 years, strike = $40.00) call option on the stock is $3.20 where N(d1) = 0.580 and N(d2) = 0.510. Which is NEAREST to the price of a binary asset-or-nothing call option with the same strike price and maturity?
选项
A.$3.20
B.$20.00
C.$23.20
D.$40.00
答案
C
解析
资产或空手看涨期权的价格为「huixue_img/importSubject/1564169528873717760.png」