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Basic Question 5 of 11
A European stock index call option has a strike price of $1,160 and a time to expiration of 0.25 years. Given a risk-free rate of 4 percent, if the underlying index is trading at $1,200 and has a multiplier of 1, then the lower bound for the option price is closest to ______.
B. $40.00
C. $51.32
A. $28.29
B. $40.00
C. $51.32
User Contributed Comments 2
| User | Comment |
|---|---|
| Inaganti6 | In reality they won't be nice enough in the real test to give you .25 directly no way they'll be that kind. |
| dbedford | Because it's super hard to know that you should divide the number of days by 365? |
I passed! I did not get a chance to tell you before the exam - but your site was excellent. I will definitely take it next year for Level II.
Tamara Schultz
Learning Outcome Statements
contrast the use of arbitrage and replication concepts in pricing forward commitments and contingent claims
CFA® 2025 Level I Curriculum, Volume 5, Module 8.