Question
Consider an option on a non-dividend paying stock where the stock price is $30, the strike price is $29, the continuously compounded risk-free rate of
Consider an option on a non-dividend paying stock where the stock price is $30, the strike price is $29, the continuously compounded risk-free rate of return is 5% per year, the continuously compounded standard deviation of its return is 25% per year and the time to maturity is 4 months.
If the Black-Scholes price of a European call on this option is C, then the price of an American call on this stock is
| slightly less than C but difficult to determine without an American option pricing model
| ||
| equal to C
| ||
| slightly greater than C but difficult to determine without an American option pricing model
| ||
| none of these other answers are correct |
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Financial Management Of Health Care Organizations
Authors: William N. Zelman, Michael J. McCue, Noah D. Glick
3rd Edition
0470497521, 9780470497524
