Question
Consider an option on a non-dividend paying stock when the stock price is $30, the exercise price is$29, the risk free interest rate is 5
Consider an option on a non-dividend paying stock when the stock price is $30, the exercise price is$29, the risk free interest rate is 5 %, the volatility is 25% per annum, and the time to maturity is 4 months.
a.What is the price of the option if it is a European call?
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Financial Institutions Management A Risk Management Approach
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
8th edition
978-0078034800, 78034809, 978-0071051590
