medium · FRM Part 1 Financial Markets and Products
A stock index is trading at S_0 = 200 with a continuous dividend yield of q = 3%. A 1-year European call option on the index has a strike price of K = 190 and the risk-free rate is r = 5%. Calculate the lower bound of this call option.
- $10.00
- $19.06
- $6.62
- $13.38
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