b) An investor is considering a call option with the following characteristics;

i. premium per call option shillings 1000

ii. the exercise price of shillings 10000 and

iii. the time remaining to expiry of the call option is 6 months.

Assuming that the following market prices of the underlying security will be available at the expiry date : shs 6000; shs 9000; shs 11000 and shs 15000.

REQUIRED;

Calculate the value of the Call Option and the profit or loss of the call option

(15 marks)