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Use the following information: stock price = $166.85 strike price = $170 time steps of 10 days make 3 time steps, 10 days out, 20

Use the following information:

  • stock price = $166.85
  • strike price = $170
  • time steps of 10 days
  • make 3 time steps, 10 days out, 20 days out and 30 days out
  • risk free rate = .5%
  • volatility = .25

What is the premium today?

A.

$2.71

B.

$6.51

C.

$3.68

D.

$1.78

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