NO.PZ2020021205000031
问题如下：
A stock provides dividends of USD 0.25 per share every three months. The next two ex-dividend dates are in two months and five months. The risk-free rate is 4% per annum. At what times might a six-month American call option with a strike price of USD 50 be exercised?
选项：
解释：
The possible exercise times are immediately before the stock goes ex-dividend at the two-month point and the five-month point, as well as at the end of the option's life. The ex-dividend dates are after 0.16667 and 0.41667 years, and the end of the option's life is after 0.5 years. Because:
0.25 < 50(1 -]
we can use the results at the end of Section 15.7 to show that the option should never be exercised at the two-month point. Because:
0.25 > 50(1 -]
the option will sometimes be exercised immediately before the five-month point. Possible exercise times are therefore at five months and six months.
he ex-dividend dates are after 0.16667 and 0.41667 years, and the end of the option's life is after 0.5 years.
