题目
What is the lower bound for the price of a nine (9)-month American PUT option on a non-dividend-paying stock when the stock price is $14.00, the strike price is $20.00, and the risk-free interest rate is 4.0% per annum?
选项
A.zero (0)
B.$5.22
C.$5.41
D.$6.00
答案
D
解析
For a European put, the lower bound is p ≥Ke^(-rT)-S, but For an American put, the lower bound is P≥ K-S. In this case, P ≥20-14=$6.00 欧式看跌期权价格下限：p ≥Ke^(﹣rT)﹣S, 美式看跌期权价格下限：P≥ K﹣S， 所以P ≥20﹣14=$6.00.