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Point 25%. Given the information below: Premiums for stock XYZ options with 1 year to expiration: ..... Strike ....... Call ..... 35 9.12 ..... 40
Point 25%. Given the information below: Premiums for stock XYZ options with 1 year to expiration: ..... Strike ....... Call ..... 35 9.12 ..... 40 6.22 ..... 45 4.08 ..... Assume the effective annual interest rate is 8% and the current spot price stock XYZ is 40. What is the range of spot price stock XYZ at maturity when a call option with strike price 45 has not only a higher profit than a call option with strike price 40 but also a lower profit than a call option with strike price 35? *Submit your own work on the next problem! (Point 75%) Select one: A. There is no price for S_T at which this situation occurs. B. S_T > 42.31 C. 38.13
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