题目内容

Consider an American call option and an American put option, each with 3 months to maturity, written on a non-dividend-paying stock currently priced at USD 40. The strike price for both options is USD 35.00 and the risk-free rate is 1.5%. What are the lower and upper bounds on the difference between the prices of the call and put options?

A. Lower Bound (USD): 0.13. Upper Bound (USD): 34.87
B. Lower Bound (USD): 5.00. Upper Bound (USD): 5.13
C. Lower Bound (USD): 5.13. Upper Bound (USD): 40.00
D. Lower Bound (USD): 34.87. Upper Bound (USD): 40.00

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The current stock price of a share is USD 100.00, and the continuously compounding risk-free rate is 12% per year. If the strike price for all options is USD 90.00, what are the maximum possible prices for a 3-month European call option, American call option, European put option, and American put option?

A. 97.04, 97.04, 87.34, 87.34
B. 97.04, 100.00, 90.00, 90.00
C. 100.00, 100.00, 87.34, 90.00
D. 100.00, 100.00, 90.00, 90.00

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Which of the following statements is correct about the early exercise of American options?

A. It is always optimal to exercise an American call option on a non-dividend-paying stock before the expiration date.
B. It can be optimal to exercise an American put option on a non-dividend-paying stock early.
C. It can be optimal to exercise an American call option on a non-dividend-paying stock early.
D. It is never optimal to exercise an American put option on a non-dividend-paying stock before the expiration date.

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What are the minimum values of an American-style and a European-style 3-month call option with a strike price of ＄80 on a non-dividend-paying stock trading at ＄86 if the risk-free rate is 3%?

American:＄6.00.European: ＄6.00
B. American:＄5.96.European: ＄6.00
C. American:＄6.00.European: ＄6.59
D. American:＄6.59.European: ＄6.59

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SCU stock is currently priced at ＄106 per share, and the risk-free interest rate is 3.25%. Assuming that SCU does not pay any dividends, what is the lower bound of an American put option on SCU that expires in three months and has an exercise price of ＄l10?

A. ＄0
B. ＄0.48
C. ＄3.11
D. ＄4.00

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A. Lower Bound (USD): 0.13. Upper Bound (USD): 34.87 B. Lower Bound (USD): 5.00. Upper Bound (USD): 5.13 C. Lower Bound (USD): 5.13. Upper Bound (USD): 40.00 D. Lower Bound (USD): 34.87. Upper Bound (USD): 40.00

Which of the following statements is correct about the early exercise of American options?

What are the minimum values of an American-style and a European-style 3-month call option with a strike price of ＄80 on a non-dividend-paying stock trading at ＄86 if the risk-free rate is 3%?

SCU stock is currently priced at ＄106 per share, and the risk-free interest rate is 3.25%. Assuming that SCU does not pay any dividends, what is the lower bound of an American put option on SCU that expires in three months and has an exercise price of ＄l10?

A. Lower Bound (USD): 0.13. Upper Bound (USD): 34.87
B. Lower Bound (USD): 5.00. Upper Bound (USD): 5.13
C. Lower Bound (USD): 5.13. Upper Bound (USD): 40.00
D. Lower Bound (USD): 34.87. Upper Bound (USD): 40.00