题目
The risk-free rate is 3.0% per annum while the current price of a non-dividend-paying stock is $56.00. An underwater (OTM) European put option on the stock has a strike price of $42.00 and maturity of one year; the value of this European put is $1.06. Which is nearest to the value of a European call option with the same strike price ($42.00; i.e., an in-the money call option) and one-year maturity?
选项
A.$7.49
B.$14.00
C.$16.30
D.$28.28
答案
C
解析
根据买卖权评价公式去进行计算「huixue_img/importSubject/1564169527539929088.jpeg」