NO.PZ2016031201000037
问题如下：
For a European call option with two months until expiration, if the spot price is below the exercise price, the call option will most likely have:
选项：
A.zero time value.
B.positive time value.
C.positive exercise value.
解释：
B is correct.
A European call option with two months until expiration will typically have positive time value, where time value reflects the value of the uncertainty that arises from the volatility in the underlying. The call option has a zero exercise value if the spot price is below the exercise price. The exercise value of a European call option is Max(0, ), where is the current spot price at time t and X is the exercise price.
中文解释：
距离到期日还有两个月的欧式看涨期权具有正的时间价值。B正确。
现货价格低于执行价格，看涨期权的执行价值为零。欧式看涨期权的行权值为Max(0,St -X)。
难道不是因为还没到期，有可能S>X即基础资产价格（spot price of the underlying)大于执行价格exercise price，可以获利？
