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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? |
Thanks again for your wonderful site ... it definitely made the difference.
Craig Baugh
Learning Outcome Statements
contrast the use of arbitrage and replication concepts in pricing forward commitments and contingent claims
CFA® 2024 Level I Curriculum, Volume 5, Module 8.