Question
The current price of a non-dividend-paying stock is $30. Over the next six months it is expected to rise to $36 or fall to $26.
The current price of a non-dividend-paying stock is $30. Over the next six months it is expected to rise to $36 or fall to $26. Assume the risk-free rate is zero. There is a call option with a strike price of $32. What is the value of the option?
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Essential Mathematics For Economic Analysis
Authors: Knut Sydsaeter, Peter Hammond, Arne Strom
4th Edition
0273760688, 9780273760689
