Question
Assume the price of a stock that pays no dividend is curtently $100. There is a European call option on this stock that has an
Assume the price of a stock that pays no dividend is curtently $100. There is a European call option on this stock that has an exercise price
(strike price) = $110. The option expires in one year, and on that expiation date the stock will be selling for either $130 or $80. The one year risk free
interest rate = 10%. What should be the price of the call option?
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Handbook Of Modeling High Frequency Data In Finance
Authors: Frederi G. Viens, Maria Cristina Mariani, Ionut Florescu
1st Edition
