NO.PZ2019052801000057
问题如下:
The current price of a stock is 25, an American call option on the stock has a strike price of $28, the risk-free rate is 4%, the option expires in nine months. What are the lower bound and upper bond of the call option on this stock?
选项:
A.$0, $28.
B.$2.71, $25.
C.$0, $27.17.
D.$0, $25.
解释:
D is correct.
考点:option 价格上限和下限
解析:对于美式看涨期权来说,价格上限=当前股票价格=25元。
价格下限=max(0,25 - 28×)=0.
这个lower and upper bound 有什么用呢?这两个值代表什么?