When Valuing an Interest Rate Call Option, One Approach Is

question 27

Multiple Choice

When valuing an interest rate call option, one approach is to use the Black call option price adjusted for the present value

• A) over the m days of the underlying option using the continuously compounded forward rate.
• B) over the m days of the underlying rate using the continuously compounded spot rate.
• C) over the days remaining of the option using the continuously compounded forward rate.
• D) over the days remaining of the option using the continuously compounded spot rate.
• E) over the m days of the underlying rate using the continuously compounded forward rate.

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