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Ken Is Interested in buying a European call option written on Southeastern Airlines, Inc., a non-dividend paying common stock, with a strike price of $85

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Ken Is Interested in buying a European call option written on Southeastern Airlines, Inc., a non-dividend paying common stock, with a strike price of $85 and one year until expiration. Currently, the company's stock sells for $85 per share. Ken knows that, in one year, the company's stock will be trading at either $102 per share or $71 per share. Ken is able to borrow and lend at the risk-free EAR of 2.5 percent a. What should the call option sell for today? (Do not round Intermediate calculations and round your answer to 2 decimal places, e.g. 32.16.) b. What is the delta of the option? (Do not round Intermediate calculations and round your answer to 2 decimal places, e.g., 3216.) c. How much would Ken have to borrow to create a synthetic call? (Do not round Intermediate calculations and round your answer to 2 decimal places, e.g.. 32.16.) d. How much does the synthetic call option cost? (Do not round Intermediate calculations and round your answer to 2 decimal places, e.g. 3216.) a. Call option price b. Delta of the option c. Amount to borrow d. Call option price Ken Is Interested in buying a European call option written on Southeastern Airlines, Inc., a non-dividend paying common stock, with a strike price of $85 and one year until expiration. Currently, the company's stock sells for $85 per share. Ken knows that, in one year, the company's stock will be trading at either $102 per share or $71 per share. Ken is able to borrow and lend at the risk-free EAR of 2.5 percent a. What should the call option sell for today? (Do not round Intermediate calculations and round your answer to 2 decimal places, e.g. 32.16.) b. What is the delta of the option? (Do not round Intermediate calculations and round your answer to 2 decimal places, e.g., 3216.) c. How much would Ken have to borrow to create a synthetic call? (Do not round Intermediate calculations and round your answer to 2 decimal places, e.g.. 32.16.) d. How much does the synthetic call option cost? (Do not round Intermediate calculations and round your answer to 2 decimal places, e.g. 3216.) a. Call option price b. Delta of the option c. Amount to borrow d. Call option price

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