Question
A stock is currently priced at $40. It is known that at the end of one month it will be either $38 or $42. The
A stock is currently priced at $40. It is known that at the end of one month it will be either $38 or $42. The risk-free rate is 0.67% per month. The current value of a European call option with an exercise price of $39 is closest to
(This can be solved as a 1-period BOPM)
| $1.10 | ||
| $0.27 | ||
| $0.54 | ||
| $1.69 |
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Financial Institutions Management A Risk Management Approach
Authors: Anthony Saunders, Marcia Cornett, Otgo Erhemjamts
10th Edition
1260013820, 978-1260013825
