Technical University of Munich

公司财务 950798027 (S25) 模拟考试

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一份行使价为 65 欧元、到期日为两年的欧式看涨期权，其售价为 10 欧元。不派息的标的股票交易价格为 50 欧元，一年期无风险利率为 10.00%。假设收益率曲线平坦，并采用离散复利法。一份行使价、标的股票和到期日与上述看涨期权相同的欧式看跌期权，其价格最接近：

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