题目
The current stock price of a share is USD 100 and the continuously compounding risk-free rate is 12% per year. The maximum possible prices for a 3-month European call option, American call option, European put option, and American put option, all with strike price of USD 90, are:
选项
A.100, 100, 87.34, 90
B.100, 100, 90, 90
C.97.04, 100, 90, 90
D.97.04, 97.04, 87.34, 87.34
答案
A
解析
For European and American call options, the maximum possible price is equal to current stock price. The option price can never be higher than the stock. The stock price is thus the "upper bound". For a European Put, the upper bound is the present value of strike price, while for American put it is equal to the strike price.欧式和美式看涨期权的价格上限是股票价格，美式看跌期权价格上限是K，欧式看跌期权价格上限是PV(K)。