Question
On Jan 18 2022, SPY (the ETF) closed at 456.02. The short-term interest rate is 0.25%. Assume no dividend payments before the February 18 expiration.
On Jan 18 2022, SPY (the ETF) closed at 456.02. The short-term interest rate is 0.25%. Assume no dividend payments before the February 18 expiration. The minimum value of the February 2022, K = 454, Call option, on Jan 18 2022 was
- 2.02
- larger than 2.02
- smaller than 2.02, but not zero
- zero
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Guide To Finance Theory And Application Portfolio Mathematics
Authors: Professional Risk Managers' International Association (PRMIA)
1st Edition
0071731814
