美式買權提早執行問題 - 金融分析師

我懂你的意思

上面有一條題目

An American call option has a strike price of 50.The risk free rate is 5%.

There are 2 months left to expiry.The present value of dividends over the 2

month period is D.

Determine the lowerest value of D such that exercising the option early

could be rational.

課本:D>K(1-e^-r(T-t))=50(1-e^-0.05*(2/12))=0.414935.

我的想法:D>K(1-e^-r(T-t))+Put(European)

所以根據題目沒辦法算出最小值


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