Bsm

问题如下：

Assume a current stock price of $35 with a continuously compounded dividend yield of 2.5%. There is a 6-month call option on the stock with an exercise price of $33. What is the adjusted stock price to use for the BSM model?

选项：

A.

$30.12.

B.

$32.59.

C.

$34.57.

D.

$35.44.

解释：

The adjusted stock price is calculated as:

adjusted stock price = $35 × e^(–0.025×0.5) = $34.57