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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 am using your study notes and I know of at least 5 other friends of mine who used it and passed the exam last Dec. Keep up your great work!
Barnes
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.