Question
Q1. CALL Option Pricing Assume rf=0, and 252 trading days in a year. Option has six months before expiration. Underlying currently traded at 400 with
Q1. CALL Option Pricing
Assume rf=0, and 252 trading days in a year. Option has six months before expiration. Underlying currently traded at 400 with annual IV of 25. CALL Strike is 420. Q1a. What is the probability for CALL to expire in the money?
Q1b. What is the average price of the underlying at expiration conditional on CALL expiring ITM?
Q1c. Based on Q1a, and Q1b, how much should the CALL be priced at today?
Please, show a work
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The Handbook Of Hybrid Securities Convertible Bonds CoCo Bonds And Bail In
Authors: Jan De Spiegeleer, Wim Schoutens, Cynthia Van Hulle
1st Edition
1118449991, 978-1118449998
