题目
If the current rate is 0.6650 (1 AUD = 0.6650USD) and the risk-free rates for the USD and AUD are 1.0% and 4.5% respectively, what is the lower bound of a 5-month European put option on the AUD with a strike price of 0.6880?
选项
A.0.0135
B.0.0245
C.0.0325
D.0.0455
答案
C
解析
这题把AUD，看成是苹果商品。把AUD的利率看成是现货的收益。经过这样的处理，这题就很简单了。 要求的是AUD的put option的下限，其实就是看put option的下限。把AUD的利率4.5%，看成是苹果商品的分红收益。就应该是Ke^(﹣rt)﹣Se^(﹣qt)。「huixue_img/importSubject/1564169527279882240.png」