股票期权计算,1.Whatisalowerboundforthepriceofasix-monthcalloptiononanondividend-payingstockwhenthestockpriceis$80,thestrikepriceis$75,andtherisk-freeinterestrateis10%perannum?2.Whatisalowerboundforthepri

Question

股票期权计算,
1.What is a lower bound for the price of a six-month call option on a nondividend-paying stock when the stock price is $80,the strike price is $75,and the risk-free interest rate is 10% per annum?
2.What is a lower bound for the price of a two-month European put option on a nondividend-paying stock when the stock price is $58,the strike price is $65,and the risk-free interest rate is 5% per annum?
3.A stock price is currently $100.Over each of the next two six-month periods it is expected to go up by 10% or down by 10%.The risk-free interest rate is 8% per annum with continuous compounding.
a) What is the value of a one-year European call option with a strike price of $100?
b) What is the value of a one-year European put option with a strike price of $100?
只要求第三题

Answer 1

没人回答?也许你选错分类了,换到商业理财试试.这分就送我吧谢谢