题目
Consider the following call option with 6-months till expiry. The strike price is $50, the current stock price is $55 and the value of the option is $5. What does this imply about the level of 6-month interest rates?
选项
A.Interest rates are positively sloped around the 6-month period.
B.Interest rates are negatively sloped around the 6-month period.
C.Interest rates are at zero for the 6-month period.
D.Cannot be determined from the information given.
答案
C
解析
If the call is currently trading at $5 and its intrinsic value is $5, then the time value of the call is $0, so the six-month interest rate must be zero.欧式看涨期权的价格下限为max(S0－Ke－rt,0)，代入题目中的已知条件，可以发现，只有当r为0时，才符合下限要求。