Question
Suppose a share of stock sells for $55. The risk-free rate is 6 percent, and the stock price in one year will be either $61
Suppose a share of stock sells for $55. The risk-free rate is 6 percent, and the stock price in one year will be either $61 or $71.
a.What is the value of a call option with a $61 exercise price?
Call option value$
b.Calculate the minimum return on the stock required to get the option in the money.(Round your answer to 2 decimal places. (e.g., 32.16))
Minimum stock return%
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Get StartedRecommended Textbook for
International Financial Management
Authors: Geert Bekaert, Robert J. Hodrick
2nd edition
013299755X, 132162768, 9780132997553, 978-0132162760
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