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19 Mar 2018

Consider a 6-month American call option on a non-dividend-paying stock. The stock price is $80 and the strike price of the option is $75. The continuously compounded risk-free interest rate is 10% per year. What is the best lower bound of the option price?

a. $0

b. $1.15

c. $5.00

d. $8.66

e. $12.14

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Deanna Hettinger
Deanna HettingerLv2
21 Mar 2018

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