Question
There is a European call option on a non-dividend-paying stock. The underlying price is stock price is $69, the strike price is $70, the risk-free
- There is a European call option on a non-dividend-paying stock. The underlying price is stock price is $69, the strike price is $70, the risk-free interest rate is 5% per annum, the volatility is 35% per annum, and the time to maturity is six months?
a. What is the present value of K?
b. What are the prices of call and put?
c. What is the probability that the call will be ITM upon expiration?
d. What is the probability that the put will be ITM upon expiration?
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AS Accounting For AQA
Authors: David Cox,Michael Fardon
2nd Edition
1905777140, 978-1905777143
