Question
Exhibit 14.4 The current stock price of ABC Corporation is $53.50. ABC Corporation has the following put and call option prices that expire six months
Exhibit 14.4
The current stock price of ABC Corporation is $53.50. ABC Corporation has the following put and call option prices that expire six months from today. The risk-free rate of return is 5 percent, and the expected return on the market is 11 percent.
| Exercise Price | Put Price | Call Price |
| 50 | $1.50 | $5.75 |
| 55 | $3.25 | --- |
Refer to Exhibit 14.4. What should the price be of a call option that expires six months from today with an exercise price of $55?
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Investment Analysis and Portfolio Management
Authors: Frank K. Reilly, Keith C. Brown
10th Edition
538482109, 1133711774, 538482389, 9780538482103, 9781133711773, 978-0538482387
