题目
What are the minimum values of an American-style and a European-style 3-month call option with a strike price of $80 on a non-dividend-paying stock trading at $86 if the risk-free rate is 3%? American European
选项
A.$6.00 $6.00
B.$6.00 $5.96
C.$6.59 $6.00
D.$6.59 $6.59
答案
D
解析
The minimum value for a European-style call option, c_T is given by:「huixue_img/importSubject/1564169527976136704.png」An American style call option must be worth at least as much as an otherwise identical European-style call option and has the same minimum value.