题目
On the OTC market there are two options available on Microsoft stock: a European put with premium of USD 2.25 and an American call option with premium of USD 0.46. Both options have a strike price of USD 24 and an expiration date 3 months from now. Microsoft's stock price is currently at USD 22 and no dividend is due during the next 6 months. Assuming that there is no arbitrage opportunity, which of the following choices is closest to the level of the risk-free rate:
选项
A.0.25%
B.1.76%
C.3.52%
D.Insufficient information to determine
答案
C
解析
Due to the fact that the American call option under consideration is on the stock which does not pay dividends, its value is equal to European call option with the same parameters. Thus, we can apply Put-Call parity to determine the level of interest rate.「huixue_img/importSubject/1564169528798220288.png」