Question
A call option has an exercise price of $45 and matures in three months. The current stock price is $46, and the risk-free rate is
A call option has an exercise price of $45 and matures in three months. The current stock price is $46, and the risk-free rate is 3 percent per year, compounded continuously. What is the price of the call if the standard deviation of the stock is 0 percent per year?
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Survey Of Economics, Principles, Applications, And Tools
Authors: Arthur O'Sullivan, Steven M. Sheffrin, Stephen J. Perez
5th Edition
0132556073, 978-0132556071
