题目
Consider a 1-year European call option with a strike price of $27.50 that is currently valued at $4.10 on a $25 stock. The 1-year risk-free rate is 6% compounded annually. Which of the following is closest to the value of the corresponding put option (assume continuous compounding)?
选项
A.$0.00
B.$4.95
C.$5.00
D.$5.04
答案
D
解析
A 6% rate compounded annually is approximately equivalent to a 5.8269% rate (rounded to four decimal places) compounded continuously: ln (1＋0.06)=5.8269%Using Put-Call parity:「huixue_img/importSubject/1564169527057584128.png」