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Consider an option on a non-dividend-paying stock when the stock price is $38, the exercise price is $40, the risk-free interest rate is 6%
Consider an option on a non-dividend-paying stock when the stock price is $38, the exercise price is $40, the risk-free interest rate is 6% per annum, the volatility is 25% per annum, and the time to maturity is nine months. (a) What is the price of the option if it is a European call?
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Fundamentals of Futures and Options Markets
Authors: John C. Hull
8th edition
978-1292155036, 1292155035, 132993341, 978-0132993340
