题目
The price of an American call stock option is equal to an otherwise equivalent European call stock option at time t when: I The stock pays continuous dividends from t to option expiration T. II The interest rates follow a mean-reverting process between t and T. III The stock pays no dividends from t to option expiration T. IV Interest rates are non-stochastic between t and T.
选项
A.II and IV
B.III only
C.I and III
D.None of the above, an American option is always worth more than a European option.
答案
B
解析
An American call option on a non-dividend-paying stock (or asset with no income) should never be exercised early. If the asset pays income, early exercise may occur, with a probability that increases with the size of the income payment.无红利支付的美式看涨期权不会提前行权，此时美式看涨与欧式看涨是一样的。