题目
What is the lower pricing bound for a European call option with a strike price of 80 and one year until expiration? The price of the underlying asset is 90, and the 1-year interest rate is 5% per annum. Assume continuous compounding of interest.
选项
A.14.61
B.13.90
C.10.00
D.5.90
答案
B
解析
The lower bound is the difference between the stock price and the present value of the strike price:「huixue_img/importSubject/1564169528122937344.png」