题目
Twelve days ago (T-12 days), a European call option with a price of $4.80 had a theta of - 6.30 per year. Between then and today (T0), no stochastic option inputs have changed; i.e., stock price, volatility and risk-free rate are unchanged. What is the today's estimate of the option price, as reduced by only time decay, assuming 252 trading days per year?
选项
A.$3.36
B.$4.50
C.$4.63
D.$4.77
答案
B
解析
Estimated change in option value = $-6.30×12/252 = $-0.30.Estimated option price = $4.80 + ($-6.30×12/252) = $4.50期权价值中的变化估计：= $－6.30×12/252 = $－0.30.期权价格的估计= $4.80 ＋($－6.30×12/252) = $4.50